Mean Reversion In Stock Prices? A Reappraisal Of Empirical Evidence

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Mean Reversion In Stock Prices? A Reappraisal Of Empirical Evidence

Author Info

KIM, M.J.
NELSON, C.R.
STARTZ, R.

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Richard Startz

Abstract

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Publisher Info
Paper provided by University of Washington, Department of Economics in its series Working Papers with number 88-15.

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Length: 28 pages
Date of creation: 1988
Date of revision:
Handle: RePEc:udb:wpaper:88-15

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Paper
- Kim, M.J. & Nelson, C.R. & Startz, R., 1988. "Mean Reversion In Stock Prices? A Reappraisal Of Empirical Evidence," Discussion Papers in Economics at the University of Washington 88-15, Department of Economics at the University of Washington.

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Meredith Beechey & David Gruen & James Vickery, 2000. "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers rdp2000-01, Reserve Bank of Australia. [Downloadable!]
Andrew W. Lo & A. Craig MacKinlay, 1991. "When are Contrarian Profits Due to Stock Market Overreaction?," NBER Working Papers 2977, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Other versions:
- Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-., 1989. "When are contrarian profits due to stock market overreaction?," Working papers 3008-89., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
- Lo, Andrew W & MacKinlay, A Craig, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(2), pages 175-205. [Downloadable!] (restricted)
Alan J. Marcus, 1989. "An Equilibrium Theory of Excess Volatility and Mean Reversion in Stock Market Prices," NBER Working Papers 3106, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Fischer Black, 1989. "Mean Reversion and Consumption Smoothing," NBER Working Papers 2946, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
N. Gregory Mankiw & David H. Romer & Matthew D. Shapiro, 1989. "Stock Market Forecastability and Volatility: A Statistical Appraisal," NBER Working Papers 3154, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Other versions:
- Mankiw, N.G. & Romer, D. & Shapiro, M.D., 1989. "Stock Market Forecastability And Volatility: A Statistical Appraisal," Papers 89-21, Michigan - Center for Research on Economic & Social Theory.
- Mankiw, N Gregory & Romer, David & Shapiro, Matthew D, 1991. "Stock Market Forecastability and Volatility: A Statistical Appraisal," Review of Economic Studies, Blackwell Publishing, vol. 58(3), pages 455-77, May. [Downloadable!] (restricted)

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This page was last updated on 2009-11-24.

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