2,371 Citations
Secular Mean Reversion and Long-Run Predictability of the Stock Market
- Economics
- 2015
Empirical financial literature documents the evidence of mean reversion in stock prices and the absence of out-of-sample return predictability over periods shorter than 10 years. The goal of this…
Is There Conditional Mean Reversion in Stock Returns
- Business, Economics
- 1998
This research examines the behavior of ex post returns, expected returns, and residual returns for book-to-market equity/size portfolios for the period from June 1963 through December 1996 for stocks…
Temporary Components of Stock Prices: New Univariate Results
- MathematicsJournal of Financial and Quantitative Analysis
- 1993
Abstract While there is growing evidence that stock prices do not follow pure random walks, the degree of existence of temporary components in stock prices is not well known. Modeling stock prices as…
Mean Reversions in GNMA Returns
- Economics
- 1990
The random-walk hypothesis is tested in the prices of mortgage-backed securities traded in the secondary market. Using the variance ratio test, the random-walk hypothesis is rejected for the daily…
Secular Mean Reversion and Long‐Run Predictability of the Stock Market
- Economics
- 2017
The empirical financial literature reports evidence of mean reversion in stock prices and the absence of out‐of‐sample return predictability over horizons shorter than 10 years. Anecdotal…
Mean-Reversion Across MENA Stock Markets: Implications for Portfolio Allocations
- Economics, Business
- 2000
Are stock market returns mean-reverting in the region? Mean reversion in a stock market suggests that bad returns are likely to be followed by periods of good returns. By contrast, in a random walk…
Are Price-Earnings Ratios Mean Reverting? An Empirical Study
- Economics, Business
- 2019
Mean reversion in stock prices is a highly studied area in the financial literature with controversial findings. While some economists have found evidence of mean reverting processes in stock prices,…
Stock Market Returns and Real Activity: International Evidence
- Economics
- 1993
One way to assess the efficiency of national stock markets is to examine whether stock market returns reflect unexpected changes in the underlying fundamental determinants of stock prices, discount…
References
SHOWING 1-10 OF 53 REFERENCES
Dividend variability and variance bounds tests for the rationality of stock market prices
- Economics
- 1984
Perhaps for as long as there has been a stock market, economists have debated whether or not stock prices rationally reflect the "intrinsic" or fundamental values of the underlying companies. At one…
Does the Stock Market Rationally Reflect Fundamental Values
- Economics
- 1986
This paper examines the power of statistical tests commonly used to evaluate the efficiency of speculative markets. It shows that these tests have very low power. Market valuations can differ…
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
- Economics
- 1987
In this paper, we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is…
Permanent and Temporary Components of Stock Prices
- EconomicsJournal of Political Economy
- 1988
A slowly mean-reverting component of stock prices tends to induce negative autocorrelation in returns. The autocorrelation is weak for the daily and weekly holding periods common in market efficiency…
What moves stock prices?
- Economics, Business
- 1988
This paper estimates the fraction of the variance in aggregate stock returns that can be attributed to various kinds of news. First, we consider macroeconomic news and show that it is difficult to…
Bond and Stock Returns in a Simple Exchange Model
- Economics
- 1984
In this paper I analyze a simple "representative agent" exchange model of general equilibrium, and derive closed form solutions for returns on stocks and real and nominal bonds. The model restricts…
Does the Stock Market Overreact
- Economics
- 1985
Research in experimental psychology suggests that, in violation of Bayes' rule, most people tend to "overreact" to unexpected and dramatic news events. This study of market efficiency investigates…
Investing for the Short and the Long Term
- Economics
- 1982
If asset returns have different dynamics, then their short and long run risk characteristics differ. For instance, if returns on one asset follow a random walk, it is very risky to hold for the long…
On Estimating the Expected Return on the Market: An Exploratory Investigation
- Economics, Business
- 1980