Advanced Search
MyIDEAS: Login

Citations for "Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence"

by Kim, Myung Jig & Nelson, Charles R & Startz, Richard

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Lubos Pastor & Robert F. Stambaugh, 2009. "Are Stocks Really Less Volatile in the Long Run?," NBER Working Papers 14757, National Bureau of Economic Research, Inc.
  2. Paresh Kumar Narayan & Seema Narayan, 2011. "Has the structural break slowed down growth rates of stock markets?," Financial Econometics Series 2011_10, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  3. Nelson Manuel Areal & Manuel Jose Da Rocha Armada, 2002. "The long-horizon returns behaviour of the Portuguese stock market1," The European Journal of Finance, Taylor & Francis Journals, vol. 8(1), pages 93-122.
  4. Robert B. Barsky & J. Bradford De Long, 1992. "Why Does the Stock Market Fluctuate?," NBER Working Papers 3995, National Bureau of Economic Research, Inc.
  5. KENT D. DANIEL & David Hirshleifer & AVANIDHAR SUBRAHMANYAM, 2004. "A Theory of Overconfidence, Self-Attribution, and Security Market Under- and Over-reactions," Finance 0412006, EconWPA.
  6. Chen, Chen & Chen, Rong & Bassett, Gilbert W., 2007. "Fundamental indexation via smoothed cap weights," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3486-3502, November.
  7. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Is There a Structural Break in the Equity Premium?," Discussion Papers in Economics at the University of Washington 0024, Department of Economics at the University of Washington.
  8. Cassano, Mark A., 1999. "Learning and mean reversion in asset returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(4), pages 529-545.
  9. Patro, Dilip K. & Wu, Yangru, 2004. "Predictability of short-horizon returns in international equity markets," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 553-584, September.
  10. Tan, Baris & Yilmaz, Kamil, 2002. "Markov chain test for time dependence and homogeneity: An analytical and empirical evaluation," European Journal of Operational Research, Elsevier, vol. 137(3), pages 524-543, March.
  11. Simon van Norden & Huntley Schaller & ), 1995. "Fads or Bubbles?," Econometrics 9502004, EconWPA, revised 06 Jun 1995.
  12. Andreas Graflund, 2000. "A Bayes Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Econometric Society World Congress 2000 Contributed Papers 1363, Econometric Society.
  13. Marco antonio Bonomo & Rene Garcia, 1992. "Consumption and equilibrium asset pricing: An empirical assessment," Textos para discussão 284, Department of Economics PUC-Rio (Brazil).
  14. McPherson, Matthew Q. & Palardy, Joseph, 2007. "Are international stock returns predictable?: An examination of linear and non-linear predictability using generalized spectral tests," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(5), pages 452-464, December.
  15. Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2006. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," NBER Working Papers 12658, National Bureau of Economic Research, Inc.
  16. Nick Wills-Johnson, 2010. "Response to Peter Monkhouse," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 40(1), pages 112-123, March.
  17. Pan, Ming-Shiun & Chan, Kam C. & C.W. Fok, Robert, 1997. "Do currency futures prices follow random walks?," Journal of Empirical Finance, Elsevier, vol. 4(1), pages 1-15, January.
  18. Enrique Sentana, 1993. "The econometrics of the stock market I: rationality tests," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 401-420, September.
  19. J. Annaert & W. Van Hyfte, 2006. "Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/376, Ghent University, Faculty of Economics and Business Administration.
  20. Clinebell, John M. & Kahl, Douglas K. & Stevens, Jerry L., 1996. "Time series estimation of the bond default risk premium," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(4), pages 475-484.
  21. Maenhout, Pascal J., 2006. "Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium," Journal of Economic Theory, Elsevier, vol. 128(1), pages 136-163, May.
  22. Chang-Jin Kim & James C. Morley & Charles Nelson, 1999. "Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0028, Department of Economics at the University of Washington.
  23. Malliaropulos, Dimitrios & Priestley, Richard, 1999. "Mean reversion in Southeast Asian stock markets," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 355-384, October.
  24. Bali, Turan G. & Demirtas, K. Ozgur & Levy, Haim, 2008. "Nonlinear mean reversion in stock prices," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 767-782, May.
  25. Chen, Carl R. & Sauer, David A., 1997. "Mean reversion in asset returns with varying debt and equity components: Evidence and implications from preferred stock," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(3), pages 683-696.
  26. Simon van Norden & Huntley Schaller & ), 1995. "Regime Switching in Stock Market Returns," Econometrics 9502002, EconWPA.
  27. Chaudhuri, Kausik & Wu, Yangru, 2003. "Random walk versus breaking trend in stock prices: Evidence from emerging markets," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 575-592, April.
  28. C. F. Lo & C. H. Hui & S. W. Chu & T. Fong, 2012. "A Quasi-Bounded Target Zone Model - Theory and Application to Hong Kong Dollar," Working Papers 282012, Hong Kong Institute for Monetary Research.
  29. Wolfgang Drobetz & Patrick Wegmann, 2002. "Mean Reversion on Global Stock Markets," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(III), pages 215-239, September.
  30. Dimitrios Malliaropulos, . "International stock return differentials and real exchange rate changes," CERF Discussion Paper Series 96-09, Economics and Finance Section, School of Social Sciences, Brunel University.
  31. Balvers, Ronald J. & Mitchell, Douglas W., 2000. "Efficient gradualism in intertemporal portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 24(1), pages 21-38, January.
  32. Hiemstra, Craig & Jones, Jonathan D., 1997. "Another look at long memory in common stock returns," Journal of Empirical Finance, Elsevier, vol. 4(4), pages 373-401, December.
  33. Gartner, Manfred & Wellershoff, Klaus W., 1995. "Is there an election cycle in American stock returns?," International Review of Economics & Finance, Elsevier, vol. 4(4), pages 387-410.
  34. Bartholomew Moore & Huntley Schaller, 1997. "Learning, Regime Switches, and Equilibrium Asset Pricing Dynamics," Departmental Working Papers 199501, Rutgers University, Department of Economics.
  35. Cunado, J. & Gil-Alana, L.A. & Gracia, Fernando Perez de, 2010. "Mean reversion in stock market prices: New evidence based on bull and bear markets," Research in International Business and Finance, Elsevier, vol. 24(2), pages 113-122, June.
  36. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
  37. Graflund, Andreas, 2000. "A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Working Papers 2000:8, Lund University, Department of Economics, revised 09 Nov 2000.
  38. John Y. Campbell, 1990. "Measuring the Persistence of Expected Returns," NBER Working Papers 3305, National Bureau of Economic Research, Inc.
  39. Charles R. Nelson & Myung J. Kim, 1990. "Predictable Stock Returns: Reality or Statistical Illusion?," NBER Working Papers 3297, National Bureau of Economic Research, Inc.
  40. repec:ebl:ecbull:v:3:y:2008:i:11:p:1-11 is not listed on IDEAS
  41. Adrian Buckley, 1999. "An introduction to security returns," The European Journal of Finance, Taylor & Francis Journals, vol. 5(3), pages 165-180.
  42. Garcia, R. & Bonomo, M., 1993. "Disappointment Aversion as a Solution to the Equity Premium and the Risk- Free Rate Puzzles," Cahiers de recherche 9334, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  43. Amélie Charles & Olivier Darne, 2009. "Variance ratio tests of random walk: An overview," Post-Print hal-00771078, HAL.
  44. Laura Spierdijk & Jacob Bikker & Pieter van den Hoek, 2010. "Mean Reversion in International Stock Markets: An Empirical Analysis of the 20th Century," DNB Working Papers 247, Netherlands Central Bank, Research Department.
  45. Chiang, Raymond & Davidson, Ian & Okunev, John, 1997. "Some further theoretical and empirical implications regarding the relationship between earnings, dividends and stock prices," Journal of Banking & Finance, Elsevier, vol. 21(1), pages 17-35, January.
  46. Shu-Ling Chen & Hyeongwoo Kim, 2011. "Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets," International Economic Journal, Taylor & Francis Journals, vol. 25(2), pages 239-250.
  47. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
  48. Zisimos Koustas & Jean-Francois Lamarche & Apostolos Serletis, 2006. "Threshold Random Walks in the U.S. Stock Market," Working Papers 0602, Brock University, Department of Economics, revised May 2006.
  49. Malin, Mirela & Bornholt, Graham, 2013. "Long-term return reversal: Evidence from international market indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 1-17.
  50. Matthew Richardson & James H. Stock, 1990. "Drawing Inferences From Statistics Based on Multi-Year Asset Returns," NBER Working Papers 3335, National Bureau of Economic Research, Inc.
  51. Gallagher, Liam A. & Taylor, Mark P., 2000. "Measuring the temporary component of stock prices: robust multivariate analysis," Economics Letters, Elsevier, vol. 67(2), pages 193-200, May.
  52. Bhar, Ramaprasad & Hamori, Shigeyuki, 2004. "Empirical characteristics of the permanent and transitory components of stock return: analysis in a Markov switching heteroscedasticity framework," Economics Letters, Elsevier, vol. 82(2), pages 157-165, February.
  53. Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2002. "Spurious Regressions in Financial Economics?," NBER Working Papers 9143, National Bureau of Economic Research, Inc.
  54. John Hatgioannides & Spiros Mesomeris, 2005. "Mean Reversion in Equity Prices: the G-7 Evidence," Money Macro and Finance (MMF) Research Group Conference 2005 64, Money Macro and Finance Research Group.
  55. Yoon, Byung-Sam & Brorsen, B. Wade, 2000. "Rollover Hedging," 2000 Conference, April 17-18 2000, Chicago, Illinois 18938, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  56. Puneet Handa, 2006. "Does Stock Return Predictability Imply Improved Asset Allocation and Performance? Evidence from the U.S. Stock Market (1954–2002)," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2423-2468, September.
  57. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2002. "Fractional integration and mean reversion in stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(3), pages 599-609.
  58. Gil-Alana, Luis A. & Cunado, Juncal & de Gracia, Fernando Perez, 2013. "Salient features of dependence in daily US stock market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(15), pages 3198-3212.
  59. Chancharat, Surachai & Valadkhani, Abbas, 2007. "Structural Breaks and Testing for the Random Walk Hypothesis in International Stock Prices," MPRA Paper 50394, University Library of Munich, Germany.
  60. Blake, David & Wright, Douglas & Zhang, Yumeng, 2014. "Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 105-124.
  61. Cornelis A. Los, 2004. "Nonparametric Testing of the High-Frequency Efficiency of the 1997 Asian Foreign Exchange Markets," Finance 0409040, EconWPA.
  62. Jacobsen, Ben, 1996. "Long term dependence in stock returns," Journal of Empirical Finance, Elsevier, vol. 3(4), pages 393-417, December.
  63. Kin Lam & May Chun Mei Wong & Wing-Keung Wong, 2005. "New Variance Ratio Tests to Identify Random Walk from the General Mean Reversion Model," Departmental Working Papers wp0514, National University of Singapore, Department of Economics.
  64. Partha Gangopadhyay & Ken Yook & Yoon Shin, 2014. "Insider trading and firm-specific return volatility," Review of Quantitative Finance and Accounting, Springer, vol. 43(1), pages 1-19, July.
  65. Mitchell, Douglas W., 2001. "Effects of decision interval on optimal intertemporal portfolios with serially correlated returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(3), pages 427-438.
  66. Choe, Kwang-Il & Nam, Kiseok & Vahid, Farshid, 2007. "Necessity of negative serial correlation for mean-reversion of stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(4), pages 576-583, September.
  67. 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.
  68. Paresh Kumar Narayan & Russell Smyth, 2004. "Modelling the linkages between the Australian and G7 stock markets: common stochastic trends and regime shifts," Applied Financial Economics, Taylor & Francis Journals, vol. 14(14), pages 991-1004.
  69. Van Norden, S. & Schaller, H., 1996. "Speculative Behaviour, Regime-Switching and Stock Market Crashes," Working Papers 96-13, Bank of Canada.
  70. Eduardo Lima & Benjamin Tabak, 2009. "Tests of Random Walk: A Comparison of Bootstrap Approaches," Computational Economics, Society for Computational Economics, vol. 34(4), pages 365-382, November.
  71. Krishnan, R. & Sen, Kunal, 1995. "Measuring persistence in industrial output: The Indian case," Journal of Development Economics, Elsevier, vol. 48(1), pages 25-41, October.
  72. Noor Ghazali & Shamshubariah Ramlee, 2003. "A long memory test of the long-run Fisher effect in the G7 countries," Applied Financial Economics, Taylor & Francis Journals, vol. 13(10), pages 763-769.
  73. Richards, Anthony J., 1995. "Comovements in national stock market returns: Evidence of predictability, but not cointegration," Journal of Monetary Economics, Elsevier, vol. 36(3), pages 631-654, December.
  74. Paresh Kumar Narayan & Russell Smyth, 2005. "Are OECD stock prices characterized by a random walk? Evidence from sequential trend break and panel data models," Applied Financial Economics, Taylor & Francis Journals, vol. 15(8), pages 547-556.
  75. Simon Stevenson, 2002. "Momentum Effects and Mean Reversion in Real Estate Securities," Journal of Real Estate Research, American Real Estate Society, vol. 23(1/2), pages 47-64.
  76. William A. Brock & Blake LeBaron, 1989. "Liquidity Constraints in Production Based Asset Pricing Models," NBER Working Papers 3107, National Bureau of Economic Research, Inc.
  77. Yasuyuki Itoh, 2007. "A Class of Gaussian Hybrid Processes for Modeling Financial Markets," Asia-Pacific Financial Markets, Springer, vol. 14(3), pages 185-199, September.
  78. Lau, Evan & Baharumshah, Ahmad Zubaidi & Haw, Chan Tze, 2006. "Current account: mean-reverting or random walk behavior?," Japan and the World Economy, Elsevier, vol. 18(1), pages 90-107, January.
  79. Luger, Richard, 2001. "Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity," Working Papers 01-2, Bank of Canada.
  80. McPherson, Matthew Q. & Palardy, Joseph & Vilasuso, Jon, 2005. "Are international stock returns predictable?: An application of spectral shape tests corrected for heteroskedasticity," Journal of Economics and Business, Elsevier, vol. 57(2), pages 103-118.
  81. Campbell, John Y, 1991. "A Variance Decomposition for Stock Returns," Economic Journal, Royal Economic Society, vol. 101(405), pages 157-79, March.
  82. Ezzat, Hassan, 2013. "Long Memory Processes and Structural Breaks in Stock Returns and Volatility: Evidence from the Egyptian Exchange," MPRA Paper 51465, University Library of Munich, Germany.
  83. Philip Shively, 2004. "Time-varying risk components in the single-factor market model: an exact most powerful invariant test," Applied Financial Economics, Taylor & Francis Journals, vol. 14(13), pages 945-952.
  84. Eric Hillebrand, 2005. "Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation," Finance 0501015, EconWPA.
  85. David M. Cutler & James M. Poterba & Lawrence H. Summers, 1990. "Speculative Dynamics and the Role of Feedback Traders," NBER Working Papers 3243, National Bureau of Economic Research, Inc.
  86. Valkanov, Rossen, 1999. "Equity Premium and Dividend Yield regressions: A lot of noise, little information, confusing results," University of California at Los Angeles, Anderson Graduate School of Management qt955135m1, Anderson Graduate School of Management, UCLA.
  87. Graflund, Andreas, 2001. "Are the Nordic Stock Markets Mean Reverting?," Working Papers 2001:15, Lund University, Department of Economics.
  88. Nielsen, Steen & Olesen, Jan Overgaard, 2001. "Regime-Switching Stock Returns And Mean Reversion," Working Papers 11-2000, Copenhagen Business School, Department of Economics.
  89. Nam, Kiseok & Pyun, Chong Soo & Arize, Augustine C., 2002. "Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 563-588, December.
  90. Peter S. Yoo, 1994. "Age dependent portfolio selection," Working Papers 1994-003, Federal Reserve Bank of St. Louis.
  91. Yoon, Byung-Sam & Brorsen, B. Wade, 2005. "Can Multiyear Rollover Hedging Increase Mean Returns?," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 37(01), April.
  92. Shively, Philip A., 2007. "Asymmetric temporary and permanent stock-price innovations," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 120-130, January.
  93. Kulp-Tåg, Sofie, 2007. "Short-Horizon Asymmetric Mean-Reversion and Overreactions: Evidence from the Nordic Stock Markets," Working Papers 524, Hanken School of Economics.
  94. Gangopadhyay, Partha & Reinganum, Marc R., 1996. "Interpreting mean reversion in stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(3), pages 377-394.
  95. Steven Clark & T. Coggin, 2011. "Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks," Empirical Economics, Springer, vol. 40(2), pages 373-391, April.
  96. Kian-Ping Lim & Venus Khim-Sen Liew, 2007. "Nonlinear mean reversion in stock prices: evidence from Asian markets," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(1), pages 25-29, January.
  97. Chen, Son-Nan & Jeon, Kisuk, 1998. "Mean reversion behavior of the returns on currency assets," International Review of Economics & Finance, Elsevier, vol. 7(2), pages 185-200.
  98. Kim, Hyeongwoo, 2009. "On the usefulness of the contrarian strategy across national stock markets: A grid bootstrap analysis," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 734-744, December.
  99. Graflund, Andreas, 2001. "Some Time Serial Properties of the Swedish Real Estate Stock Market, 1939-1998," Working Papers 2001:8, Lund University, Department of Economics.
  100. Domian, Dale L. & Louton, David A., 1997. "A threshold autoregressive analysis of stock returns and real economic activity," International Review of Economics & Finance, Elsevier, vol. 6(2), pages 167-179.