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Learning and mean reversion in asset returns

  • Cassano, Mark A.
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    File URL: http://www.sciencedirect.com/science/article/B6W5X-3Y8VJFR-6/2/cfd09afa5c9c01e35669345668c8cfcd
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    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 39 (1999)
    Issue (Month): 4 ()
    Pages: 529-545

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    Handle: RePEc:eee:quaeco:v:39:y:1999:i:4:p:529-545
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

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    1. LeRoy, Stephen F, 1989. "Efficient Capital Markets and Martingales," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1583-1621, December.
    2. Kim, Myung Jig & Nelson, Charles R & Startz, Richard, 1991. "Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence," Review of Economic Studies, Wiley Blackwell, vol. 58(3), pages 515-28, May.
    3. Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
    4. Stephen Morris, . ""Speculative Investor Behavior and Learning''," CARESS Working Papres 95-13, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
    5. Shiller, Robert J, 1981. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," American Economic Review, American Economic Association, vol. 71(3), pages 421-36, June.
    6. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
    7. Timmermann, Allan G, 1993. "How Learning in Financial Markets Generates Excess Volatility and Predictability in Stock Prices," The Quarterly Journal of Economics, MIT Press, vol. 108(4), pages 1135-45, November.
    8. Handa, Puneet & Linn, Scott C., 1993. "Arbitrage Pricing with Estimation Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(01), pages 81-100, March.
    9. Bruce N. Lehmann, 1988. "Fads, Martingales, and Market Efficiency," NBER Working Papers 2533, National Bureau of Economic Research, Inc.
    10. Coles, Jeffrey L. & Loewenstein, Uri & Suay, Jose, 1995. "On Equilibrium Pricing under Parameter Uncertainty," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(03), pages 347-364, September.
    11. Lehmann, Bruce N, 1990. "Fads, Martingales, and Market Efficiency," The Quarterly Journal of Economics, MIT Press, vol. 105(1), pages 1-28, February.
    12. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
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