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Citations for "Mean Reversion in Stock Prices: Evidence and Implications"

by James M. Poterba & Lawrence H. Summers

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  1. Carl Chiarella & Xue-Zhong He, 2000. "Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker," Research Paper Series 35, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Laopodis, Nikiforos T., 2004. "Financial market liberalization and stock market efficiency: Evidence from the Athens Stock Exchange," Global Finance Journal, Elsevier, vol. 15(2), pages 103-123, August.
  3. Yilmaz, Kamil, 2003. "Martingale Property of Exchange Rates and Central Bank Interventions," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(3), pages 383-95, July.
  4. Kim, Hyeongwoo, 2009. "On the usefulness of the contrarian strategy across national stock markets: A grid bootstrap analysis," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 734-744, December.
  5. Raymond Chiang & Ian Davidson & John Okunev, 1996. "Some Further Theoretical and Empirical Implications Regarding the Relationship between Earnings, Dividends and Stock Prices," Working Paper Series 60, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  6. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2002. "Fractional integration and mean reversion in stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(3), pages 599-609.
  7. Stotz, Olaf & L\"utje, Torben & Menkhoff, Lukas & von Nitzsch, R\"udiger, 2004. "Do Fund Managers Expect Mean Averting Returns?," Hannover Economic Papers (HEP) dp-309, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  8. Moore, Bartholomew & Schaller, Huntley, 1996. "Learning, regime switches, and equilibrium asset pricing dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 20(6-7), pages 979-1006.
  9. Anup K. Basu & Michael E. Drew, 2009. "The Case for Gender-Sensitive Superannuation Plan Design," Discussion Papers in Finance finance:200904, Griffith University, Department of Accounting, Finance and Economics.
  10. Diks, C.G.H. & Dindo, P.D.E., 2006. "Informational differences and learning in an asset market with boundedly rational agents," CeNDEF Working Papers 06-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  11. Hui Guo, 2003. "Limited stock market participation and asset prices in a dynamic economy," Working Papers 2000-031, Federal Reserve Bank of St. Louis.
  12. Lin, W.L. & Engle, R.F. & Ito, T., 1991. "Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns," Working papers 9121, Wisconsin Madison - Social Systems.
  13. Simon Stevenson, 2001. "Bayes-Stein Estimators and International Real Estate Asset Allocation," Journal of Real Estate Research, American Real Estate Society, vol. 21(1/2), pages 89-104.
  14. Jianjun Miao & Rui Albuquerque, 2008. "Advance Information and Asset Prices," 2008 Meeting Papers 44, Society for Economic Dynamics.
  15. McMillan, David G., 2001. "Nonlinear predictability of stock market returns: Evidence from nonparametric and threshold models," International Review of Economics & Finance, Elsevier, vol. 10(4), pages 353-368, December.
  16. Gangopadhyay, Partha & Reinganum, Marc R., 1996. "Interpreting mean reversion in stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(3), pages 377-394.
  17. Robert P. Flood & Robert J. Hodrick, 1989. "Testable Implications of Indeterminacies in Models with Rational Expectations," NBER Working Papers 2903, National Bureau of Economic Research, Inc.
  18. Kenneth A. Froot & Andre F. Perold & Jeremy C. Stein, 1991. "Shareholder Trading Practices and Corporate Investment Horizons," NBER Working Papers 3638, National Bureau of Economic Research, Inc.
  19. Dichtl, Hubert & Drobetz, Wolfgang, 2011. "Portfolio insurance and prospect theory investors: Popularity and optimal design of capital protected financial products," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1683-1697, July.
  20. Kostas Triantafyllopoulos & Giovanni Montana, 2008. "Dynamic modeling of mean-reverting spreads for statistical arbitrage," Papers 0808.1710, arXiv.org, revised May 2009.
  21. Emmanuel Anoruo & Luis Gil-Alana, 2011. "Mean reversion and long memory in African stock market prices," Journal of Economics and Finance, Springer, vol. 35(3), pages 296-308, July.
  22. Nielsen, Steen & Olesen, Jan Overgaard, 2001. "Regime-Switching Stock Returns And Mean Reversion," Working Papers 11-2000, Copenhagen Business School, Department of Economics.
  23. Quiggin, John, 2009. "Six Refuted Doctrines," Risk and Sustainable Management Group Working Papers 151521, University of Queensland, School of Economics.
  24. Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho.
  25. Campbell, John Y, 1991. "A Variance Decomposition for Stock Returns," Economic Journal, Royal Economic Society, vol. 101(405), pages 157-79, March.
  26. Lee, Chien-Chiang & Lee, Cheng-Feng & Lee, Chi-Chuan, 2014. "Asymmetric dynamics in REIT prices: Further evidence based on quantile regression analysis," Economic Modelling, Elsevier, vol. 42(C), pages 29-37.
  27. Nengjiu Ju & Jianjun Miao, . "Ambiguity, Learning, and Asset Returns," Boston University - Department of Economics - Working Papers Series wp2009-014, Boston University - Department of Economics.
  28. Asako, Kazumi & Liu, Zhentao, 2013. "A statistical model of speculative bubbles, with applications to the stock markets of the United States, Japan, and China," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2639-2651.
  29. Lo, Andrew W & Wang, Jiang, 1995. " Implementing Option Pricing Models When Asset Returns Are Predictable," Journal of Finance, American Finance Association, vol. 50(1), pages 87-129, March.
  30. Stefano Bosi & Thomas Seegmuller, 2009. "On rational exuberance," Documents de travail du Centre d'Economie de la Sorbonne 09004, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  31. Kin Lam & May Chun Mei Wong & Wing-Keung Wong, 2005. "New Variance Ratio Tests to Identify Random Walk from the General Mean Reversion Model," Departmental Working Papers wp0514, National University of Singapore, Department of Economics.
  32. Xue-Zhong He & Carl Chiarella, 1999. "Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model," Computing in Economics and Finance 1999 223, Society for Computational Economics.
  33. Stephen Foerster, 2011. "Double then Nothing: Why Stock Investments Relying on Simple Heuristics May Disappoint," Review of Behavioral Finance, Emerald Group Publishing, vol. 3(2), pages 115-140, November.
  34. Ajit Singh, 1998. "Pension Reform, the Stock Market, Capital Formation and Economic Growth: A Critical Commentary on the World Bank’s Proposals," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 2(8-7), pages 51-78.
  35. Liu, Chao-Shin & Ziebart, David A., 1999. "Anomalous security price behavior following management earnings forecasts," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 405-429, October.
  36. Michael E. Drew & Anup Basu & Alistair Byrnes, 2009. "Dynamic Lifecycle Strategies for Target Date Retirement Funds," Discussion Papers in Finance finance:200902, Griffith University, Department of Accounting, Finance and Economics.
  37. Campbell, John Y., 2001. "Why long horizons? A study of power against persistent alternatives," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 459-491, December.
  38. Charles, Amélie & Darné, Olivier, 2009. "The efficiency of the crude oil markets: Evidence from variance ratio tests," Energy Policy, Elsevier, vol. 37(11), pages 4267-4272, November.
  39. Hubert Dichtl & Wolfgang Drobetz & Martin Wambach, 2014. "Where is the value added of rebalancing? A systematic comparison of alternative rebalancing strategies," Financial Markets and Portfolio Management, Springer, vol. 28(3), pages 209-231, August.
  40. Minye Zhang & Yongheng Deng, 2010. "Is the Mean Return of Hotel Real Estate Stocks Apt to Overreact to Past Performance?," The Journal of Real Estate Finance and Economics, Springer, vol. 40(4), pages 497-543, May.
  41. Anthony J. Richards, 1996. "Comovements in National Stock Market Returns; Evidence of Predictability But Not Cointegration," IMF Working Papers 96/28, International Monetary Fund.
  42. Campbell, John Y & Ammer, John, 1993. " What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," Journal of Finance, American Finance Association, vol. 48(1), pages 3-37, March.
  43. Malcolm Baker & Jeffrey Wurgler, 2007. "Investor Sentiment in the Stock Market," Journal of Economic Perspectives, American Economic Association, vol. 21(2), pages 129-152, Spring.
  44. Calice, Giovanni & Miao, RongHui & Štěrba, Filip & Vašíček, Bořek, 2014. "Short-term determinants of the idiosyncratic sovereign risk premium: a regime-dependent analysis for european credit default swaps," Working Paper Series 1717, European Central Bank.
  45. Philip Shively, 2004. "Time-varying risk components in the single-factor market model: an exact most powerful invariant test," Applied Financial Economics, Taylor & Francis Journals, vol. 14(13), pages 945-952.
  46. Tim Leung & Xin Li, 2014. "Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit," Papers 1411.5062, arXiv.org, revised May 2015.
  47. David K. Miles, 2000. "Funded and Unfunded Pension Schemes: Risk, Return and Welfare," CESifo Working Paper Series 239, CESifo Group Munich.
  48. John Okunev & Patrick J. Wilson, 1997. "Using Nonlinear Tests to Examine Integration Between Real Estate and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(3), pages 487-503.
  49. L. Spierdijk & J.A. Bikker & P. van den Hoek, 2010. "Mean Reversion in International Stock Markets: An Empirical Analysis of the 20th Century," Working Papers 10-07, Utrecht School of Economics.
  50. Luis A. Gil-Alana & Juncal Cuñado & Guglielmo Maria Caporale, 2012. "Modelling Long Run Trends and Cycles in Financial Time Series Data," Faculty Working Papers 13/12, School of Economics and Business Administration, University of Navarra.
  51. Otto van Hemert, 2005. "Optimal intergenerational risk sharing," LSE Research Online Documents on Economics 24660, London School of Economics and Political Science, LSE Library.
  52. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2012. "Exchange Rate Mean Reversion within a Target Zone: Evidence from a Country on the Periphery of the ERM," EcoMod2012 3720, EcoMod.
  53. L. Spierdijk & J.A. Bikker, 2012. "Mean Reversion in Stock Prices: Implications for Long-Term Investors," Working Papers 12-07, Utrecht School of Economics.
  54. Amelie Charles & Olivier Darne, 2009. "Testing for Random Walk Behavior in Euro Exchange Rates," Economie Internationale, CEPII research center, issue 119, pages 25-45.
  55. Loffler, Gunter, 2004. "An anatomy of rating through the cycle," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 695-720, March.
  56. Jones, Steven L. & Yeoman, John C., 2012. "Bias in estimating the systematic risk of extreme performers: Implications for financial analysis, the leverage effect, and long-run reversals," Journal of Corporate Finance, Elsevier, vol. 18(1), pages 1-21.
  57. Majumder, Debasish, 2013. "Towards an efficient stock market: Empirical evidence from the Indian market," Journal of Policy Modeling, Elsevier, vol. 35(4), pages 572-587.
  58. Cosme Vodounou, 1998. "Inférence fondée sur les statistiques des rendements de long terme," CIRANO Working Papers 98s-20, CIRANO.
  59. Georges Prat, 2012. "Equity risk premium and time horizon: what do the U.S. secular data say?," Working Papers 12-06, Association Française de Cliométrie (AFC).
  60. Koutmos, Gregory, 1998. "Asymmetries in the Conditional Mean and the Conditional Variance: Evidence From Nine Stock Markets," Journal of Economics and Business, Elsevier, vol. 50(3), pages 277-290, May.
  61. Fabio Fornari & Marcello Pericoli, 2000. "Stock Values and Fundamentals; Link or Irrationality?," Temi di discussione (Economic working papers) 378, Bank of Italy, Economic Research and International Relations Area.
  62. John Y. Campbell, 2013. "Comment on "Shocks and Crashes"," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 355-366 National Bureau of Economic Research, Inc.
  63. Zhong, Maosen & Darrat, Ali F. & Anderson, Dwight C., 2003. "Do US stock prices deviate from their fundamental values? Some new evidence," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 673-697, April.
  64. Robert S. Chirinko & Huntley Schaller, 1993. "Bubbles, fundamentals, and investment: a multiple equation testing strategy," Research Working Paper 93-03, Federal Reserve Bank of Kansas City.
  65. van Norden, Simon, 1996. "Regime Switching as a Test for Exchange Rate Bubbles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(3), pages 219-51, May-June.
  66. Felix Schindler, 2013. "Predictability and Persistence of the Price Movements of the S&P/Case-Shiller House Price Indices," The Journal of Real Estate Finance and Economics, Springer, vol. 46(1), pages 44-90, January.
  67. John Y. Campbell, 1992. "Intertemporal Asset Pricing Without Consumption Data," NBER Working Papers 3989, National Bureau of Economic Research, Inc.
  68. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Working Papers 0011, University of Washington, Department of Economics.
  69. Suijs, J.P.M., 2002. "Post Earnings Announcement Drift : More Risk than Investors can Bear," Discussion Paper 2002-45, Tilburg University, Center for Economic Research.
  70. Mensah, Justice T. & Pomaa-Berko, Maame & Adom, Philip Kofi, 2012. "Does Automation Improve Stock Market Efficiency? Evidence from Ghana," MPRA Paper 43642, University Library of Munich, Germany.
  71. Balvers, Ronald J. & Wu, Yangru, 2006. "Momentum and mean reversion across national equity markets," Journal of Empirical Finance, Elsevier, vol. 13(1), pages 24-48, January.
  72. Ogden, Joseph P., 2003. "The calendar structure of risk and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 70(1), pages 29-67, October.
  73. Javid, Attiya Yasmin & Ahmad, Eatzaz, 2008. "Testing multifactor capital asset pricing model in case of Pakistani market," MPRA Paper 37341, University Library of Munich, Germany.
  74. repec:ebl:ecbull:v:3:y:2008:i:11:p:1-11 is not listed on IDEAS
  75. John H. Cochrane, 1997. "Where is the market going? Uncertain facts and novel theories," Economic Perspectives, Federal Reserve Bank of Chicago, issue Nov, pages 3-37.
  76. Zeynep Senyuz, 2011. "Factor analysis of permanent and transitory dynamics of the US economy and the stock market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 975-998, 09.
  77. Wang, Juan & Zhang, Dongxiang & Zhang, Jian, 2015. "Mean reversion in stock prices of seven Asian stock markets: Unit root test and stationary test with Fourier functions," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 157-164.
  78. Mark T. Hon & Ian Tonks, 2002. "Mommentum in the UK stock market," LSE Research Online Documents on Economics 24909, London School of Economics and Political Science, LSE Library.
  79. Lüders, Erik & Peisl, Bernhard, 2001. "How do investors' expectations drive asset prices?," ZEW Discussion Papers 01-15, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  80. Boswijk, H.P. & Hommes C.H. & Manzan, S., 2005. "Behavioral Heterogeneity in Stock Prices," CeNDEF Working Papers 05-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  81. Edouard Challe, 2005. "Endogenous Participation Rick in Speculative Markets," Money Macro and Finance (MMF) Research Group Conference 2005 90, Money Macro and Finance Research Group.
  82. Miles, David K, 2000. "Funded and Unfunded Pensions: Risk, Return and Welfare," CEPR Discussion Papers 2369, C.E.P.R. Discussion Papers.
  83. Markku Lanne & Mika Meitz & Pentti Saikkonen, 2012. "Testing for Predictability in a Noninvertible ARMA Model," Koç University-TUSIAD Economic Research Forum Working Papers 1225, Koc University-TUSIAD Economic Research Forum.
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  93. Luger, Richard, 2001. "Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity," Working Papers 01-2, Bank of Canada.
  94. Mukherji, Sandip, 2011. "Are stock returns still mean-reverting?," Review of Financial Economics, Elsevier, vol. 20(1), pages 22-27, January.
  95. 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.
  96. Shen, Chung-Hua & Wang, Lee-Rong, 1998. "Daily serial correlation, trading volume and price limits: Evidence from the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 251-273, August.
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  139. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2015. "Factor Models as 'Explanatory Unifiers' versus 'Explanatory Ideals' of Empirical Regularities of Stock Returns," DEOS Working Papers 1507, Athens University of Economics and Business.
  140. Ricardo Sousa, 2011. "Building proxies that capture time-variation in expected returns using a VAR approach," Applied Financial Economics, Taylor & Francis Journals, vol. 21(3), pages 147-163.
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  146. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2014. "Factor Models of Stock Returns: GARCH Errors versus Time - Varying Betas," DEOS Working Papers 1409, Athens University of Economics and Business.
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