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      <record key="001" att1="001" value="LIB907767503" att2="LIB907767503">001   LIB907767503</record>
      <field key="037" subkey="x">englisch</field>
      <field key="050" subkey="x">Forschungsbericht</field>
      <field key="076" subkey="">Ökonomie</field>
      <field key="079" subkey="y">http://www.ihs.ac.at/publications/ihsfo/fo330.pdf</field>
      <field key="079" subkey="z">Hsu, Chien-Te, Stock Markets Efficiency and Volatility Tests: A Survey (pdf)</field>
      <field key="100" subkey="">Hsu, Chien-Te</field>
      <field key="103" subkey="">Department of Economics, Institute for Advanced Studies, Vienna, Austria</field>
      <field key="331" subkey="">Stock Markets Efficiency and Volatility Tests: A Survey</field>
      <field key="403" subkey="">1. Ed.</field>
      <field key="410" subkey="">Wien</field>
      <field key="412" subkey="">Institut für Höhere Studien</field>
      <field key="425" subkey="">1993, July</field>
      <field key="433" subkey="">28 pp.</field>
      <field key="451" subkey="">Institut für Höhere Studien; Forschungsberichte; 330</field>
      <field key="461" subkey="">Research Memorandum</field>
      <field key="544" subkey="">IHSFO 330</field>
      <field key="753" subkey="">Abstract: This paper provides a survey of two generations volatility tests of stock market efficiency, stressing both the</field>
      <field key="eco" subkey="n">omic and econometric aspects. The first-generation volatility tests from LeRoy/Porter (1981) and Shiller (1981) rejected the</field>
      <field key="eff" subkey="i">cient market hypothesis, which are one of the first empirical evidence against market efficiency. It was found out that the</field>
      <field key="ini" subkey="t">ial volatility tests suffer some econometric flaws which make the test results unconvincing. The next-round volatility tests</field>
      <field key="emp" subkey="h">asized on developing tests that have acceptable econometric properties under realistic dividend models. With a small number</field>
      <field key="of" subkey="e">xceptions, the second-generation tests still found excess volatility, however the order of magnitude is smaller. Whether the</field>
      <field key="con" subkey="s">tant rejection of the present value model is significant evidence against market efficiency is debatable. Several possible</field>
      <field key="exp" subkey="l">anations are reviewed.;</field>
    </SEQUENTIAL>
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