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Mean reversion behavior of the returns on currency assets

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  • Chen, Son-Nan
  • Jeon, Kisuk
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    File URL: http://www.sciencedirect.com/science/article/B6W4V-4717PBP-4/2/d65634045ea46b75e1d0502f94692154
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    Article provided by Elsevier in its journal International Review of Economics & Finance.

    Volume (Year): 7 (1998)
    Issue (Month): 2 ()
    Pages: 185-200

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    Handle: RePEc:eee:reveco:v:7:y:1998:i:2:p:185-200

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    Web page: http://www.elsevier.com/locate/inca/620165

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    1. Myung Jig Kim & Charles R. Nelson & Richard Startz, 1988. "Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence," NBER Working Papers 2795, National Bureau of Economic Research, Inc.
    2. Glen, Jack D., 1992. "Real exchange rates in the short, medium, and long run," Journal of International Economics, Elsevier, vol. 33(1-2), pages 147-166, August.
    3. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    4. Hakkio, Craig S., 1984. "A re-examination of purchasing power parity : A multi-country and multi-period study," Journal of International Economics, Elsevier, vol. 17(3-4), pages 265-277, November.
    5. Robert E. Cumby & John Huizinga, 1990. "The Predictability of Real Exchange Rate Changes in the Short and Long Run," NBER Working Papers 3468, National Bureau of Economic Research, Inc.
    6. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    7. Buiter, Willem H., 1987. "An empirical investigation of the long-run behavior of real exchange rates comment on the huizinga paper," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 27(1), pages 215-223, January.
    8. Mark, Nelson C., 1990. "Real and nominal exchange rates in the long run: An empirical investigation," Journal of International Economics, Elsevier, vol. 28(1-2), pages 115-136, February.
    9. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
    10. 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.
    11. Huizinga, John, 1987. "An empirical investigation of the long-run behavior of real exchange rates," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 27(1), pages 149-214, January.
    12. 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.
    13. Conrad, Jennifer & Kaul, Gautam, 1989. "Mean Reversion in Short-Horizon Expected Returns," Review of Financial Studies, Society for Financial Studies, vol. 2(2), pages 225-40.
    14. 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.
    15. Abuaf, Niso & Jorion, Philippe, 1990. " Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, vol. 45(1), pages 157-74, March.
    16. McQueen, Grant & Thorley, Steven, 1991. " Are Stock Returns Predictable? A Test Using Markov Chains," Journal of Finance, American Finance Association, vol. 46(1), pages 239-63, March.
    17. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    18. McQueen, Grant, 1992. "Long-Horizon Mean-Reverting Stock Prices Revisited," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(01), pages 1-18, March.
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    Cited by:
    1. Yuval Arbel & Danny Ben-Shahar & Eyal Sulganik, 2009. "Mean Reversion and Momentum: Another Look at the Price-Volume Correlation in the Real Estate Market," The Journal of Real Estate Finance and Economics, Springer, vol. 39(3), pages 316-335, October.

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