Are stock returns still mean-reverting?
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References listed on IDEAS
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"Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test,"
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Huffman, Stephen P. & Moll, Cliff R., 2013. "An examination of the relation between asymmetric risk measures, prior returns and expected daily stock returns," Review of Financial Economics, Elsevier, vol. 22(1), pages 8-19.
- Ghada Abbas, 2014. "Testing Random Walk Behavior in the Damascus Securities Exchange," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 4(4), pages 317-325, October.
- Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2018.
"Momentum and Reversal in Financial Markets with Persistent Heterogeneity,"
LEM Papers Series
2018/04, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2018. "Momentum and Reversal in Financial Markets with Persistent Heterogeneity," Working Papers 2018:03, Department of Economics, University of Venice "Ca' Foscari".
- repec:bor:bistre:v:17:y:2017:i:3:p:178-189 is not listed on IDEAS
- 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.
- Isabelle Le Breton-Miller & Danny Miller, 2015. "The paradox of resource vulnerability: Considerations for organizational curatorship," Strategic Management Journal, Wiley Blackwell, vol. 36(3), pages 397-415, March.
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KeywordsMean reversion Stock returns Block bootstrap;
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