Is the US Stock Market Myopic?
Jeffery S. Abarbanell
University of North Carolina (UNC) at Chapel Hill - Accounting Area
Victor Bernard
University of Michigan at Ann Arbor
Abstract:
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 [1995] 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, M40
working papers series
Suggested Citation
Abarbanell, Jeffery S. and Bernard, Victor, Is the US Stock Market Myopic?. Available at SSRN: http://ssrn.com/abstract=6426 or http://dx.doi.org/10.2139/ssrn.6426
