Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K
The evidence of slowly mean-reverting components in stock prices has been controversial. The hypothesis of stock price mean-reversion is tested using a regression model that yields the highest asymptotic power among a class of regression tests. Although the evidence that the equally weighted index of stocks exhibits mean-reversion is significant in the period 1926-88, this phenomenon is entirely concentrated in January. In the postwar period, both the equally weighted and the value-weighted indices exhibit seasonal mean-reversion in January. A similar phenomenon is also observed for the equally weighted index of stocks traded on the London Stock Exchange. Copyright 1991 by American Finance Association.
Volume (Year): 46 (1991)
Issue (Month): 4 (September)
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