Does survivorship bias really matter? An empirical investigation into its effects on the mean reversion of share returns on the JSE Securities Exchange (1984-2006)
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- Evan Gilbert & Dave Strugnell, 2008. "Does Survivorship Bias really matter? An Empirical Investigation into its Effects on the Mean Reversion of Share Returns on the JSE Securities Exchange (1984-2006)," Working Papers 109, Economic Research Southern Africa.
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KeywordsSurvivorship bias; mean reversion; P/E ratio;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-11-04 (All new papers)
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