Is the Us Stock Market Myopic?

31 Pages Posted: 10 Oct 1998

See all articles by Jeffery S. Abarbanell

Jeffery S. Abarbanell

University of North Carolina (UNC) at Chapel Hill - Finance Area

Victor Bernard

University of Michigan at Ann Arbor

Multiple version iconThere are 2 versions of this paper

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.

JEL Classification: G12, G14, M40

Suggested Citation

Abarbanell, Jeffery S. and Bernard (deceased), Victor, Is the Us Stock Market Myopic?. Available at SSRN: https://ssrn.com/abstract=6426 or http://dx.doi.org/10.2139/ssrn.6426

Jeffery S. Abarbanell (Contact Author)

University of North Carolina (UNC) at Chapel Hill - Finance Area ( email )

Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

Victor Bernard (deceased)

University of Michigan at Ann Arbor

N/A

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