Is the US Stock Market Myopic?
Jeffery S. Abarbanell
University of North Carolina (UNC) at Chapel Hill - Accounting Area
University of Michigan at Ann Arbor
This paper tests whether the US stock market is myopic, in the sense that it places less than the appropriate weight on expected long-run earnings. The tests are made possible through reliance on a valuation model used by Ohlson  that permits us, using only minimal assumptions, to make precise statements about how prices should relate to earnings expected at different points on the forecast horizon, under the null of market efficiency. We detect some anomalous stock price behavior, but find no support for the claim that stock prices exhibit myopic behavior as we have defined it here.
Number of Pages in PDF File: 31
JEL Classification: G12, G14, M40working papers series
Date posted: October 10, 1998
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