Efficiency and the Variability of Asset Prices

Abstract

It has now been a decade since the first of the variance-bounds papers was circulated in typescript. If initially less interest was displayed in this material than the authors had hoped and expected, the same is no longer true. This may be a good time to discuss a few of the many recent papers extending and criticizing the original results. The central idea underlying the variancebounds tests is very simple. Consider stock prices. The perfect foresight price of stock -that price which would prevail if future dividends xt+i were known-is

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