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Mean reversion of industry stock returns in the U.S., 1926-1998

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  • Gropp, Jeffrey

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  • 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.
    • Handle: RePEc:eee:empfin:v:11:y:2004:i:4:p:537-551
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    2. Kim, Hyeongwoo & Ryu, Deockhyun, 2015. "Measuring the speed of convergence of stock prices: A nonparametric and nonlinear approach," Economic Modelling, Elsevier, vol. 51(C), pages 227-241.
    3. Yarovaya, Larisa & Matkovskyy, Roman & Jalan, Akanksha, 2022. "The COVID-19 black swan crisis: Reaction and recovery of various financial markets," Research in International Business and Finance, Elsevier, vol. 59(C).
    4. Chiu, Hsin-Yu & Chen, Ting-Fu, 2020. "Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    5. Jalan, Akanksha & Matkovskyy, Roman & Potì, Valerio, 2022. "Shall the winning last? A study of recent bubbles and persistence," Finance Research Letters, Elsevier, vol. 45(C).
    6. Beaupain, Renaud & Durré, Alain, 2013. "Central bank reserves and interbank market liquidity in the euro area," Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 259-284.
    7. Ichkitidze, Yuri, 2018. "Temporary price trends in the stock market with rational agents," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 103-117.
    8. Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2019. "Momentum and reversal in financial markets with persistent heterogeneity," Annals of Finance, Springer, vol. 15(4), pages 455-487, December.
    9. Beaupain, Renaud & Durré, Alain, 2013. "Central bank reserves and interbank market liquidity in the euro area," Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 259-284.
    10. Spierdijk, Laura & Bikker, Jacob A. & van den Hoek, Pieter, 2012. "Mean reversion in international stock markets: An empirical analysis of the 20th century," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 228-249.
    11. Akarim, Yasemin Deniz & Sevim, Serafettin, 2013. "The impact of mean reversion model on portfolio investment strategies: Empirical evidence from emerging markets," Economic Modelling, Elsevier, vol. 31(C), pages 453-459.
    12. Seung-Hyun Moon & Yong-Hyuk Kim & Byung-Ro Moon, 2019. "Empirical investigation of state-of-the-art mean reversion strategies for equity markets," Papers 1909.04327, arXiv.org.
    13. Tim Leung & Xin Li, 2015. "Optimal Mean Reversion Trading With Transaction Costs And Stop-Loss Exit," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 1-31.
    14. Buckley, Winston S. & Long, Hongwei, 2015. "A discontinuous mispricing model under asymmetric information," European Journal of Operational Research, Elsevier, vol. 243(3), pages 944-955.
    15. Victor Troster & José Penalva & Abderrahim Taamouti & Dominik Wied, 2021. "Cointegration, information transmission, and the lead‐lag effect between industry portfolios and the stock market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1291-1309, November.
    16. Leković Miljan, 2018. "Evidence for and Against the Validity of Efficient Market Hypothesis," Economic Themes, Sciendo, vol. 56(3), pages 369-387, September.
    17. 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.

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