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Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K.
13 references·16 citing·39 second hop
Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K. (1991)Seasonality in Stock Price Mean Reversion…Mean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesTests of Financial Models in the Presence of Overlapping Observations (1991)Tests of Financial Models in …Stock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…Drawing inferences from statistics based on multiyear asset returns (1989)Drawing inferences from stati…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Mean reversion in stock prices (1988)Mean reversion in stock pricesMean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)Further Evidence On Investor …Does the Stock Market Rationally Reflect Fundamental Values? (1986)Does the Stock Market Rationa…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…CAPITAL GAINS TAXATION AND YEAR‐END STOCK MARKET BEHAVIOR (1977)CAPITAL GAINS TAXATION AND YE…A Tax Loss Trading Rule (1977)A Tax Loss Trading RuleThe Variability of the Market Factor of the New York Stock Exchange (1973)The Variability of the Market…Online portfolio selection (2014)Online portfolio selectionPredictive regression under various degrees of persistence and robust long-horizon regression (2013)Predictive regression under v…Confidence Weighted Mean Reversion Strategy for Online Portfolio Selection (2013)Confidence Weighted Mean Reve…The Impact of Index Funds in Commodity Futures Markets: A Systems Approach (2011)The Impact of Index Funds in …New Evidence on the Impact of Index Funds in U.S. Grain Futures Markets (2011)New Evidence on the Impact of…The Impact of Index and Swap Funds on Commodity Futures Markets (2010)The Impact of Index and Swap …A speculative bubble in commodity futures prices? Cross‐sectional evidence (2010)A speculative bubble in commo…The Poor Predictive Performance of Asset Pricing Models (2008)The Poor Predictive Performan…The Financial/Economic Dichotomy in Social Behavioral Dynamics: The Socionomic Perspective (2007)The Financial/Economic Dichot…Why long horizons? A study of power against persistent alternatives (2001)Why long horizons? A study of…Using Nonlinear Tests to Examine Integration Between Real Estate and Stock Markets (1997)Using Nonlinear Tests to Exam…Real exchange-rate prediction over long horizons (1997)Real exchange-rate prediction…Measuring the Predictable Variation in Stock and Bond Returns (1997)Measuring the Predictable Var…Seasonality and cultural influences on four Asian stock markets (1996)Seasonality and cultural infl…Long-Term Market Overreaction: The Effect of Low-Priced Stocks (1996)Long-Term Market Overreaction…Temporary Components of Stock Prices: A Skeptic's View (1993)Temporary Components of Stock…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Asset Prices in an Exchange Economy (1978)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)Presidential Address: Discount Rates (2011)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Norm theory: Comparing reality to its alternatives. (1986)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Investor Psychology and Asset Pricing (2001)The General Theory of Employment, Interest and Money. (1936)The Framing of Decisions and the Psychology of Choice (1981)Stock Volatility and the Crash of '87 (1989)The econometrics of financial markets (1996)Investor Sentiment and Asset Valuation (2005)Economic Forces and the Stock Market (1986)Expected stock returns and volatility (1987)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)On biases in tests of the expectations hypothesis of the term structure of interest rates (1997)Alternative Variance-Ratio Tests Using Ranks and Signs (2000)Multifractality in Asset Returns: Theory and Evidence (2002)Using Financial Data to Measure Effects of Regulation (1981)The Persistence of Volatility and Stock Market Fluctuations (1984)Stock Market Volatility (1990)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)The use of technical analysis in the foreign exchange market (1992)Herd Behaviour, Bubbles and Crashes (1995)
this work references cited by second hop

References

  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1987Further Evidence On Investor Overreaction and Stock Market Seasonality2,374 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1990Stock Returns, Expected Returns, and Real Activity1,553 cited
  • 1986Does the Stock Market Rationally Reflect Fundamental Values?1,149 cited
  • 1996Mean Reversion in Stock Prices1,083 cited
  • 1973The Variability of the Market Factor of the New York Stock Exchange455 cited
  • 1989Drawing inferences from statistics based on multiyear asset returns410 cited
  • 1977CAPITAL GAINS TAXATION AND YEAR‐END STOCK MARKET BEHAVIOR262 cited
  • 1991Tests of Financial Models in the Presence of Overlapping Observations257 cited
  • 1977A Tax Loss Trading Rule239 cited

Cited by

  • 2014Online portfolio selection245 cited
  • 1993Temporary Components of Stock Prices: A Skeptic's View212 cited

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2010
A speculative bubble in commodity futures prices? Cross‐sectional evidence
184 cited
  • 1997Using Nonlinear Tests to Examine Integration Between Real Estate and Stock Markets147 cited
  • 2011The Impact of Index Funds in Commodity Futures Markets: A Systems Approach134 cited
  • 2001Why long horizons? A study of power against persistent alternatives134 cited
  • 2013Confidence Weighted Mean Reversion Strategy for Online Portfolio Selection133 cited
  • 1996Long-Term Market Overreaction: The Effect of Low-Priced Stocks122 cited
  • 1997Real exchange-rate prediction over long horizons111 cited
  • 2008The Poor Predictive Performance of Asset Pricing Models110 cited
  • 2013Predictive regression under various degrees of persistence and robust long-horizon regression109 cited
  • 2010The Impact of Index and Swap Funds on Commodity Futures Markets107 cited
  • 2007The Financial/Economic Dichotomy in Social Behavioral Dynamics: The Socionomic Perspective101 cited
  • 1997Measuring the Predictable Variation in Stock and Bond Returns101 cited
  • 1996Seasonality and cultural influences on four Asian stock markets100 cited
  • 2011New Evidence on the Impact of Index Funds in U.S. Grain Futures Markets93 cited