Picking Winners? A Survey of the Mean Reversion and Overreaction of Stock Prices Literature
This paper surveys, and suggests a possible synthesis of, two growing literatures concerning stock market anomalies. The first concentrates on identifying contrarian trading rules, capable of generating profits, when securities are segregated on the basis of past earnings, or share price performance. The other simply examines the time-series properties of security prices to find evidence of low-frequency negative autocorrelation, or 'mean-reversion.' We seek to articulate the points of interdependence between the two strands of research and the problems of joint hypothesis testing implied by the close relation between 'overreaction' and 'mean-reversion' tests. Copyright 1996 by Blackwell Publishers Ltd
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Volume (Year): 10 (1996)
Issue (Month): 2 (June)
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