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Necessity of negative serial correlation for mean-reversion of stock prices

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  • Choe, Kwang-Il
  • Nam, Kiseok
  • Vahid, Farshid

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File URL: http://www.sciencedirect.com/science/article/B6W5X-4P1G9SW-1/2/ad320abd2c60293d2e902752d46d4011
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Bibliographic Info

Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

Volume (Year): 47 (2007)
Issue (Month): 4 (September)
Pages: 576-583

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Handle: RePEc:eee:quaeco:v:47:y:2007:i:4:p:576-583

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Web page: http://www.elsevier.com/locate/inca/620167

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References

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  1. Andrew W. Lo & A. Craig MacKinlay, 1989. "When are Contrarian Profits Due to Stock Market Overreaction?," NBER Working Papers 2977, National Bureau of Economic Research, Inc.
  2. James M. Poterba & Lawrence H. Summers, 1987. "Mean Reversion in Stock Prices: Evidence and Implications," NBER Working Papers 2343, National Bureau of Economic Research, Inc.
  3. Anthony J. Richards, 1997. "Winner-Loser Reversals in National Stock Market Indices," IMF Working Papers 97/182, International Monetary Fund.
  4. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 96(2), pages 246-73, April.
  5. Kim, Myung Jig & Nelson, Charles R & Startz, Richard, 1991. "Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 58(3), pages 515-28, May.
  6. Summers, Lawrence H, 1986. " Does the Stock Market Rationally Reflect Fundamental Values?," Journal of Finance, American Finance Association, vol. 41(3), pages 591-601, July.
  7. Conrad, Jennifer & Gultekin, Mustafa N & Kaul, Gautam, 1997. "Profitability of Short-Term Contrarian Strategies: Implications for Market Efficiency," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 15(3), pages 379-86, July.
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Cited by:
  1. Kauko, Karlo, 2010. "The feasibility of through-the-cycle ratings," Research Discussion Papers 14/2010, Bank of Finland.

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