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Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence

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Cited by:

  1. Campbell, John Y, 1990. "Measuring the Persistence of Expected Returns," American Economic Review, American Economic Association, vol. 80(2), pages 43-47, May.
  2. Malliaropulos, Dimitrios & Priestley, Richard, 1999. "Mean reversion in Southeast Asian stock markets," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 355-384, October.
  3. Puneet Handa, 2006. "Does Stock Return Predictability Imply Improved Asset Allocation and Performance? Evidence from the U.S. Stock Market (1954–2002)," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2423-2468, September.
  4. Hui, Cho-Hoi & Lo, Chi-Fai & Fong, Tom Pak-Wing, 2016. "Swiss franc's one-sided target zone during 2011–2015," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 54-67.
  5. Eduardo Lima & Benjamin Tabak, 2009. "Tests of Random Walk: A Comparison of Bootstrap Approaches," Computational Economics, Springer;Society for Computational Economics, vol. 34(4), pages 365-382, November.
  6. Wang, Peipei & Wen, Yuanji & Singh, Harminder, 2017. "The high-volume return premium: Does it exist in the Chinese stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 46(PB), pages 323-336.
  7. Kim, Chang-Jin & Morley, James C. & Nelson, Charles R., 2001. "Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 403-426, September.
  8. Luger, Richard, 2003. "Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 115(2), pages 259-276, August.
  9. Tan, Baris & Yilmaz, Kamil, 2002. "Markov chain test for time dependence and homogeneity: An analytical and empirical evaluation," European Journal of Operational Research, Elsevier, vol. 137(3), pages 524-543, March.
  10. Yoon, Byung-Sam & Brorsen, B. Wade, 2005. "Can Multiyear Rollover Hedging Increase Mean Returns?," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 37(1), pages 65-78, April.
  11. Shyh-Wei Chen, 2008. "Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries," Economics Bulletin, AccessEcon, vol. 3(11), pages 1-11.
  12. KENT D. DANIEL & David Hirshleifer & AVANIDHAR SUBRAHMANYAM, 2004. "A Theory of Overconfidence, Self-Attribution, and Security Market Under- and Over-reactions," Finance 0412006, University Library of Munich, Germany.
  13. Lo, Andrew W & MacKinlay, A Craig, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?," The Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 175-205.
  14. Cassano, Mark A., 1999. "Learning and mean reversion in asset returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(4), pages 529-545.
  15. Wolfgang Drobetz & Patrick Wegmann, 2002. "Mean Reversion on Global Stock Markets," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(III), pages 215-239, September.
  16. Cornelis A. Los, 2004. "Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data," Finance 0409033, University Library of Munich, Germany.
  17. Blake, David & Wright, Douglas & Zhang, Yumeng, 2014. "Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 105-124.
  18. Yarovaya, Larisa & Matkovskyy, Roman & Jalan, Akanksha, 2022. "The COVID-19 black swan crisis: Reaction and recovery of various financial markets," Research in International Business and Finance, Elsevier, vol. 59(C).
  19. Wm. Stewart Mounts & Clifford B. Sowell & Atul K. Saxena, 2000. "An Examination of Country Member Bank Cash Balances of the 1930s: A Test of Alternative Explanations," Southern Economic Journal, John Wiley & Sons, vol. 66(4), pages 923-941, April.
  20. Charilaos Mertzanis, 2013. "Risk Management Challenges after the Financial Crisis," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 42(3), pages 285-320, November.
  21. Marco Antonio Bonomo & Rene Garcia, 1993. "Disappointment aversion as a solution to the equity premium and the risk-free rate puzzles," Textos para discussão 308, Department of Economics PUC-Rio (Brazil).
  22. Graflund, Andreas, 2001. "Some Time Serial Properties of the Swedish Real Estate Stock Market, 1939-1998," Working Papers 2001:8, Lund University, Department of Economics.
  23. Gil-Alana, Luis A. & Cunado, Juncal & de Gracia, Fernando Perez, 2013. "Salient features of dependence in daily US stock market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(15), pages 3198-3212.
  24. John Sabelhaus, 2005. "Alternative Methods for Projecting Equity Returns: Implications for Evaluating Social Security Reform Proposals," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 8(1), pages 43-63, March.
  25. Neaime, Simon, 2015. "Are emerging MENA stock markets mean reverting? A Monte Carlo simulation," Finance Research Letters, Elsevier, vol. 13(C), pages 74-80.
  26. Ferson, Wayne E. & Sarkissian, Sergei & Simin, Timothy, 2008. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(2), pages 331-353, June.
  27. N. Gregory Mankiw & David Romer & Matthew D. Shapiro, 1991. "Stock Market Forecastability and Volatility: A Statistical Appraisal," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(3), pages 455-477.
  28. Nelson Manuel Areal & Manuel Jose Da Rocha Armada, 2002. "The long-horizon returns behaviour of the Portuguese stock market1," The European Journal of Finance, Taylor & Francis Journals, vol. 8(1), pages 93-122.
  29. Catherine Araujo Bonjean, 1998. "Les marchés mondiaux des produits agricoles sont-ils efficients ?," Économie rurale, Programme National Persée, vol. 243(1), pages 8-15.
  30. Los, Cornelis A., 1999. "Nonparametric testing of the high-frequency efficiency of the 1997 Asian foreign exchange markets," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 265-289, November.
  31. Shu-Ling Chen & Hyeongwoo Kim, 2011. "Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets," International Economic Journal, Taylor & Francis Journals, vol. 25(2), pages 239-250.
  32. Chancharat, Surachai & Valadkhani, Abbas, 2007. "Structural Breaks and Testing for the Random Walk Hypothesis in International Stock Prices," MPRA Paper 50394, University Library of Munich, Germany.
  33. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Is There a Structural Break in the Equity Premium?," Working Papers 0024, University of Washington, Department of Economics.
  34. Oumou Kalsoum Diallo & Pierre Mendy, 2019. "Wavelet Leader and Multifractal Detrended Fluctuation Analysis of Market Efficiency: Evidence from WAEMU Market Index," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 5(1), pages 1-23, June.
  35. Bonomo, Marco & Garcia, Rene, 1996. "Consumption and equilibrium asset pricing: An empirical assessment," Journal of Empirical Finance, Elsevier, vol. 3(3), pages 239-265, September.
  36. Gartner, Manfred & Wellershoff, Klaus W., 1995. "Is there an election cycle in American stock returns?," International Review of Economics & Finance, Elsevier, vol. 4(4), pages 387-410.
  37. Maenhout, Pascal J., 2006. "Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium," Journal of Economic Theory, Elsevier, vol. 128(1), pages 136-163, May.
  38. Schwert, G.W., 1989. "Indexes Of United States Stock Prices From 1802-1987," Papers 89-04, Rochester, Business - General.
  39. Gallagher, Liam A. & Taylor, Mark P., 2000. "Measuring the temporary component of stock prices: robust multivariate analysis," Economics Letters, Elsevier, vol. 67(2), pages 193-200, May.
  40. J. Annaert & W. Van Hyfte, 2006. "Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/376, Ghent University, Faculty of Economics and Business Administration.
  41. Graflund, Andreas, 2000. "A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Working Papers 2000:8, Lund University, Department of Economics, revised 30 Jan 2002.
  42. Adrian Buckley, 1999. "An introduction to security returns," The European Journal of Finance, Taylor & Francis Journals, vol. 5(3), pages 165-180.
  43. 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.
  44. Kim, Hyeongwoo & Kim, Jintae, 2018. "London calling: Nonlinear mean reversion across national stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 265-277.
  45. Nelson, C.R. & Kim, M.J., 1990. "Predictable Stock Returns: Reality Or Statistical Illusion?," Working Papers 90-15, University of Washington, Department of Economics.
  46. Lo, C.F. & Hui, C.H. & Fong, T. & Chu, S.W., 2015. "A quasi-bounded target zone model — Theory and application to Hong Kong dollar," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 1-17.
  47. Amélie Charles & Olivier Darné, 2009. "Variance‐Ratio Tests Of Random Walk: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 23(3), pages 503-527, July.
  48. Turattia, Douglas Eduardo & Mendes, Fernando Henrique P.S. & Caldeira, João Frois, 2020. "Testing for mean reversion in Bitcoin returns with Gibbs-sampling-augmented randomization," Finance Research Letters, Elsevier, vol. 34(C).
  49. Robert B. Barsky & J. Bradford De Long, 1993. "Why Does the Stock Market Fluctuate?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 108(2), pages 291-311.
  50. Ila Patnaik, 2003. "India's policy stance on reserves and the currency," Indian Council for Research on International Economic Relations, New Delhi Working Papers 108, Indian Council for Research on International Economic Relations, New Delhi, India.
  51. 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.
  52. Chien-Chiang Lee & Chin-Yu Wang & Jhih-Hong Zeng, 2017. "Housing price–volume correlations and boom–bust cycles," Empirical Economics, Springer, vol. 52(4), pages 1423-1450, June.
  53. John B. Donaldson & Rajnish Mehra, 2021. "Average crossing time: An alternative characterization of mean aversion and reversion," Quantitative Economics, Econometric Society, vol. 12(3), pages 903-944, July.
  54. Graflund, Andreas, 2001. "Are the Nordic Stock Markets Mean Reverting?," Working Papers 2001:15, Lund University, Department of Economics.
  55. Malliaropulos, Dimitrios, 1998. "International stock return differentials and real exchange rate changes," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 493-511, June.
  56. Meredith Beechey & David Gruen & James Vickery, 2000. "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers rdp2000-01, Reserve Bank of Australia.
  57. Kim, Chang-Jin & Nelson, Charles R. & Startz, Richard, 1998. "Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 131-154, June.
  58. Domian, Dale L. & Louton, David A., 1997. "A threshold autoregressive analysis of stock returns and real economic activity," International Review of Economics & Finance, Elsevier, vol. 6(2), pages 167-179.
  59. Balvers, Ronald J. & Mitchell, Douglas W., 2000. "Efficient gradualism in intertemporal portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 24(1), pages 21-38, January.
  60. McPherson, Matthew Q. & Palardy, Joseph, 2007. "Are international stock returns predictable?: An examination of linear and non-linear predictability using generalized spectral tests," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(5), pages 452-464, December.
  61. David Hirshleifer, 2001. "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, August.
  62. William A. Brock & Blake LeBaron, 1990. "Liquidity Constraints in Production-Based Asset-Pricing Models," NBER Chapters, in: Asymmetric Information, Corporate Finance, and Investment, pages 231-256, National Bureau of Economic Research, Inc.
  63. Engel, Charles & Wu, Steve Pak Yeung, 2023. "Forecasting the U.S. Dollar in the 21st Century," Journal of International Economics, Elsevier, vol. 141(C).
  64. McPherson, Matthew Q. & Palardy, Joseph & Vilasuso, Jon, 2005. "Are international stock returns predictable?: An application of spectral shape tests corrected for heteroskedasticity," Journal of Economics and Business, Elsevier, vol. 57(2), pages 103-118.
  65. Simon van Norden & Huntley Schaller & ), 1995. "Regime Switching in Stock Market Returns," Econometrics 9502002, University Library of Munich, Germany.
  66. L. Spierdijk & J.A. Bikker, 2012. "Mean Reversion in Stock Prices: Implications for Long-Term Investors," Working Papers 12-07, Utrecht School of Economics.
  67. Panagiotis Samartzis & Nikitas Pittis & Nikolaos Kourogenis & Phoebe Koundouri, 2013. "Factor Models of Stock Returns: GARCH Errors versus Autoregressive Betas," DEOS Working Papers 1318, Athens University of Economics and Business.
  68. Nabeel Al-Loughani & David Chappell, 1997. "On the validity of the weak-form efficient markets hypothesis applied to the London stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 7(2), pages 173-176.
  69. Spierdijk, Laura & Bikker, Jacob A. & van den Hoek, Pieter, 2012. "Mean reversion in international stock markets: An empirical analysis of the 20th century," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 228-249.
  70. Shlomo Zilca, 2010. "The variance ratio and trend stationary model as extensions of a constrained autoregressive model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(5), pages 467-475.
  71. Daria Gavrilova, 2023. "Effects Of Index Additions On Stock Price Informativeness," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 31, pages 39-64, June.
  72. Seung-Hyun Moon & Yong-Hyuk Kim & Byung-Ro Moon, 2019. "Empirical investigation of state-of-the-art mean reversion strategies for equity markets," Papers 1909.04327, arXiv.org.
  73. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2016. "Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(5), pages 445-461, August.
  74. Malin, Mirela & Bornholt, Graham, 2013. "Long-term return reversal: Evidence from international market indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 1-17.
  75. Matthew Richardson & James H. Stock, 1990. "Drawing Inferences From Statistics Based on Multi-Year Asset Returns," NBER Working Papers 3335, National Bureau of Economic Research, Inc.
  76. Jacobsen, Ben, 1996. "Long term dependence in stock returns," Journal of Empirical Finance, Elsevier, vol. 3(4), pages 393-417, December.
  77. C. H. Hui & C. F. Lo & T. Fong, 2015. "A Quasi-Bounded Model for Swiss Franc's One-Sided Target Zone During 2011-2015," Working Papers 152015, Hong Kong Institute for Monetary Research.
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  79. Islam, Raisul & Volkov, Vladimir, 2020. "Contagion or interdependence? Comparing signed and unsigned spillovers," Working Papers 2020-05, University of Tasmania, Tasmanian School of Business and Economics.
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  81. 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.
  82. Tien Foo Sing & Kim Hiang Liow & Wei‐Jin Chan, 2002. "Mean reversion of Singapore property stock prices towards their fundamental values," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 20(4), pages 374-387, August.
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