Picking Winners? A Survey of the Mean Reversion and Overreaction of Stock Prices Literature
AbstractThis paper surveys, and suggests a possible synthesis of, two growing literatures concerning stock market anomalies. The first concentrates on identifying contrarian trading rules, capable of generating profits, when securities are segregated on the basis of past earnings, or share price performance. The other simply examines the time-series properties of security prices to find evidence of low-frequency negative autocorrelation, or 'mean-reversion.' We seek to articulate the points of interdependence between the two strands of research and the problems of joint hypothesis testing implied by the close relation between 'overreaction' and 'mean-reversion' tests. Copyright 1996 by Blackwell Publishers Ltd
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Economic Surveys.
Volume (Year): 10 (1996)
Issue (Month): 2 (June)
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- Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004.
"Long-run and Cyclical Dynamics in the US Stock Market,"
155, Institute for Advanced Studies.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "Long Run and Cyclical Dynamics in the US Stock Market," CESifo Working Paper Series 2046, CESifo Group Munich.
- L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Long Run And Cyclical Dynamics In The Us Stock Market," Economics and Finance Discussion Papers 05-09, Economics and Finance Section, School of Social Sciences, Brunel University.
- Morris, Michael W. & Sheldon, Oliver J. & Ames, Daniel R. & Young, Maia J, 2007. "Metaphors and the market: Consequences and preconditions of agent and object metaphors in stock market commentary," Organizational Behavior and Human Decision Processes, Elsevier, vol. 102(2), pages 174-192, March.
- Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2002. "Fractional integration and mean reversion in stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(3), pages 599-609.
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