Mean Reversion in Stock Prices

1996 ◽  
Author(s):  
James Poterba ◽  
Larry Summers
Keyword(s):  
Stock Prices ◽  
Mean Reversion

Nonlinear Mean Reversion in Stock Prices

CFA Digest ◽  
2008 ◽  
Vol 38 (4) ◽  
pp. 37-38
Author(s):  
Michael Kobal
Keyword(s):  
Stock Prices ◽  
Mean Reversion ◽  
Nonlinear Mean Reversion

Mean Reversion in Stock Prices: Tests Using Duration Models

1995 ◽  
Vol 21 (7) ◽  
pp. 3-24
Author(s):  
Steven J. Cochran ◽  
Robert H. DeFina
Keyword(s):  
Stock Prices ◽  
Mean Reversion ◽  
Duration Models

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

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

10.3386/w2795 ◽  
1988 ◽  
Author(s):  
Myung Jig Kim ◽  
Charles Nelson ◽  
Richard Startz
Keyword(s):  
Empirical Evidence ◽  
Stock Prices ◽  
Mean Reversion
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