Necessity of negative serial correlation for mean-reversion of stock prices
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- Myung Jig Kim & Charles R. Nelson & Richard Startz, 1991.
"Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence,"
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2977, National Bureau of Economic Research, Inc.
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- Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-., 1989. "When are contrarian profits due to stock market overreaction?," Working papers 3008-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Summers, Lawrence H, 1986. " Does the Stock Market Rationally Reflect Fundamental Values?," Journal of Finance, American Finance Association, vol. 41(3), pages 591-601, July.
- Anthony J. Richards, 1997. "Winner-Loser Reversals in National Stock Market Indices; Can they Be Explained?," IMF Working Papers 97/182, International Monetary Fund.
- Conrad, Jennifer & Gultekin, Mustafa N & Kaul, Gautam, 1997. "Profitability of Short-Term Contrarian Strategies: Implications for Market Efficiency," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(3), pages 379-386, July.
- Poterba, James M. & Summers, Lawrence H., 1988.
"Mean reversion in stock prices : Evidence and Implications,"
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Elsevier, vol. 22(1), pages 27-59, October.
- James M. Poterba & Lawrence H. Summers, 1987. "Mean Reversion in Stock Prices: Evidence and Implications," NBER Working Papers 2343, National Bureau of Economic Research, Inc.
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