Stock Price Volatility, Ordinary Dividends, and Other Cash Flows to Shareholders
发现方差界检验的结果取决于如何衡量股东现金分配：仅用股息时显示过度波动，但加入股票回购和收购分配后无法拒绝市场效率假说。
This paper shows that the results of variance-bound tests depend on how cash distributions to shareholders are measured. As in prior studies, we find apparent evidence of excess volatility when a narrow definition of cash flow (dividends only) is applied. However, we are unable to reject the hypothesis of market efficiency when the cash flow measure also includes share repurchases and takeover distributions in addition to ordinary cash dividends.