Rational expectations is not generally valid for econometric models: Evidence from stock market data

Pacific Economic Review

Volumn 2, Issue 3, 1997, Pages 149-163

  Chow, Gregory C ^a   Kwan, Yum K ^b  

^a PRINCETON UNIVERSITY   (United States)

^b HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0346292933     PISSN: 1361374X     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0106.00031     Document Type: Article

References (13)

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4. Chow, G. C. (1958) "The Formation of Stock Prices," Econometrica 26, 604-5.
5. _ (1983) Econometrics, New York: McGraw-Hill.
6. _ (1989) "Rational Versus Adaptive Expectations in Present Value Models," Review of Economics and Statistics 71, 376-84.
7. _ (1994) Understanding China's Economy, Hong Kong: World Scientific Publishing Co.
8. Fair, R. C. (1994) Testing of Macroeconometric Models, Cambridge, MA: Harvard University. Press.
9. Friedman, M. (1957) A Theory of the Consumption Function, Princeton: Princeton University Press.
10. Muth, J. F. (1961) "Rational Expectation and the Theory of Price Movements," Econometrica 29, 315-35.
11. New York Times, (1996) "Hefty Pickings in Hong Kong: A Strong Rally is Expected to Continue," 1 December, p. 1 of the Business Section.
12. Sharpe, W. F. and G. J. Alexander (1990) Investment, 4th edn, New Jersey: Prentice-Hall.
13. Shiller, R. (1989) Market Volatility, Cambridge, MA: MIT Press.