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Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence
1 references·16 citing·53 second hopsampled
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References

  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited

Cited by

  • 1989When are Contrarian Profits Due to Stock Market Overreaction?474 cited
  • 2000Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies358 cited
  • 1990Indexes of U.S. Stock Prices from 1802 to 1987356 cited
  • 1997Regime switching in stock market returns335 cited
  • 2003Random walk versus breaking trend in stock prices: Evidence from emerging markets276 cited
  • 1995Comovements in national stock market returns: Evidence of predictability, but not cointegration265 cited
  • 1989International Stock Price Movements: Links and Messages246 cited
  • 2006Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium246 cited
  • 1995A search for long memory in international stock market returns236 cited
  • 2012Are Stocks Really Less Volatile in the Long Run?226 cited
  • 1993Temporary Components of Stock Prices: A Skeptic's View212 cited
  • 2001Structural Breaks, Incomplete Information, and Stock Prices173 cited
  • 1994Bubbles, Stock Returns, and Duration Dependence173 cited
  • 2009VARIANCE‐RATIO TESTS OF RANDOM WALK: AN OVERVIEW

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166 cited
  • 2005Cap-Weighted Portfolios are Sub-Optimal Portfolios153 cited
  • 1992Long-Horizon Mean-Reverting Stock Prices Revisited149 cited