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.

Additional information is available for the following registered author(s):

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.)

Fischer Black, 1989. "Mean Reversion and Consumption Smoothing," NBER Working Papers 2946, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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)
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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