Associate Professor, University of Pennsylvania and Research Associate, National Bureau of Economic Research.
The Use of Volatility Measures in Assessing Market Efficiency*
Article first published online: 30 APR 2012
1981 The American Finance Association
The Journal of Finance
Volume 36, Issue 2, pages 291–304, May 1981
How to Cite
SHILLER, R. J. (1981), The Use of Volatility Measures in Assessing Market Efficiency. The Journal of Finance, 36: 291–304. doi: 10.1111/j.1540-6261.1981.tb00441.x
This research was supported by the National Science Foundation under Grant #SOC 79–07561. The views expressed here should not be attributed to the National Science Foundation or the National Bureau of Economic Research. I am indebted to Fischer Black, Olivier Blanchard, Sanford Grossman, Franco Modigliani and Jeremy Siegel for helpful discussions.
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012