Interpreting mean reversion in stock returns
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Bibliographic InfoArticle provided by Elsevier in its journal The Quarterly Review of Economics and Finance.
Volume (Year): 36 (1996)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/inca/620167
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- Kim, Myung Jig & Nelson, Charles R & Startz, Richard, 1991.
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- De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
- Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-73, April.
- Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-36, May-June.
- Jegadeesh, Narasimhan, 1991. " Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K," Journal of Finance, American Finance Association, vol. 46(4), pages 1427-44, September.
- Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
- Poterba, James M. & Summers, Lawrence H., 1988.
"Mean reversion in stock prices : Evidence and Implications,"
Journal of Financial Economics,
Elsevier, vol. 22(1), pages 27-59, October.
- James M. Poterba & Lawrence H. Summers, 1989. "Mean Reversion in Stock Prices: Evidence and Implications," NBER Working Papers 2343, National Bureau of Economic Research, Inc.
- Laura Spierdijk & Jacob Bikker, 2012.
"Mean Reversion in Stock Prices: Implications for Long-Term Investors,"
DNB Working Papers
343, Netherlands Central Bank, Research Department.
- Laura Spierdijk & Jacob A. Bikker, 2012. "Mean Reversion in Stock Prices: Implications for Long-Term Investors," Working Papers 12-07, Utrecht School of Economics.
- Gropp, Jeffrey, 2004. "Mean reversion of industry stock returns in the U.S., 1926-1998," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 537-551, September.
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