Long-Horizon Mean-Reverting Stock Prices Revisited

@inproceedings{Mcqueen1992LongHorizonMS,
  title={Long-Horizon Mean-Reverting Stock Prices Revisited},
  author={Grant R. Mcqueen},
  year={1992}
}
This paper reexamines long-horizon stock returns and finds that previous work overstates the evidence of mean reversion. The overstatement is largely due to the implicit weighting of ordinary least-squares tests, which place more weight on the Depression and World War II observations, which have both large error variances and stronger mean-reverting tendencies. Additionally, the reliance on asymptotic statistics and the improper focus on only the most negative estimates of mean reversion… CONTINUE READING

Similar Papers

Citations

Publications citing this paper.
SHOWING 1-10 OF 32 CITATIONS

New Evidence on Interest Rate and Foreign Exchange Rate Modeling

VIEW 3 EXCERPTS
CITES BACKGROUND & METHODS
HIGHLY INFLUENCED