Asset Pricing and Intrinsic Values: A Review Essay

32 Pages Posted: 29 Dec 2006 Last revised: 3 Aug 2022

See all articles by Bruce N. Lehmann

Bruce N. Lehmann

University of California, San Diego; National Bureau of Economic Research (NBER); Massachusetts Institute of Technology (MIT)

Date Written: October 1991


The efficient markets hypothesis has dominated modern research on asset prices. Asset prices and their intrinsic values differ in inefficient financial markets but difficulties in the measurement of intrinsic value greatly complicate market efficiency tests. Reflections on the measurement of intrinsic value provide insight into the interpretation of existing evidence and suggestions for generating new evidence on market efficiency. This review essay on the state of knowledge about market efficiency focuses on "A Reappraisal of the Efficiency of Financial Markets", analyzing the research areas from this perspective: (1) short-run stock return predictability; (2) asset pricing anomalies; and (3) excess volatility and present value relations.

Suggested Citation

Lehmann, Bruce, Asset Pricing and Intrinsic Values: A Review Essay (October 1991). NBER Working Paper No. w3873, Available at SSRN:

Bruce Lehmann (Contact Author)

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Massachusetts Institute of Technology (MIT) ( email )

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