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The power and size of mean reversion tests · Study

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ArticleThe power and size of mean reversion tests

Kent Daniel2001

Article2001

The power and size of mean reversion tests

34 citations·0/0 files stored·Journal of Empirical Finance

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 34 citations exist upstream.

References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1970Efficient Capital Markets: A Review of Theory and Empirical Work 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1989Business conditions and expected returns on stocks and bonds 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 1988Dividend yields and expected stock returns 1988Permanent and Temporary Components of Stock Prices

Cited by

2012When Are Pooled Panel‐Data Regression Forecasts of Exchange Rates More Accurate than the Time‐Series Regression Forecasts?

Details

Year2001

Typearticle

Published2001-12-01

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations34

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/s0927-5398(01)00038-x

openalex_workW2051706963

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