Portfolio Choice, Liquidity Constraints and Stock Market Mean Reversion

2000 ◽  
Author(s):  
Alexander Michaelides
Keyword(s):  
Stock Market ◽  
Portfolio Choice ◽  
Liquidity Constraints ◽  
Mean Reversion

scholarly journals What is the impact of stock market contagion on an investor’s portfolio choice?

2009 ◽  
Vol 45 (1) ◽  
pp. 94-112 ◽  
Author(s):  
Nicole Branger ◽  
Holger Kraft ◽  
Christoph Meinerding
Keyword(s):  
Stock Market ◽  
Portfolio Choice ◽  
Market Contagion ◽  
The Impact

Stock Market Bubbles? A Reply

1995 ◽  
Vol 55 (3) ◽  
pp. 655-665 ◽  
Author(s):  
Eugene N. White
Keyword(s):  
Stock Market ◽  
Mutual Fund ◽  
Stock Prices ◽  
Mean Reversion ◽  
Efficient Markets ◽  
Excess Volatility ◽  
Stock Market Bubbles ◽  
The Mean ◽  
Predictable Returns

Research in finance is guided by powerful intuitions from models of efficient markets. However, researchers have uncovered a number of puzzles that are not explained by these models. Such anomalies include the excess volatility of stock prices, the closed-end mutual fund paradox, and the mean reversion in stock prices that produces predictable returns for long holding periods.1 Whereas financial economists all recognize the existence of these puzzles, they disagree about how they can be explained. Robert J. Shiller argues, for example, that efficient-markets models cannot hope to explain these anomalies and looks to alternatives that incorporate fads.2 In contrast, John H. Cochrane believes that the puzzles can be explained by improved models of fundamentals.3

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