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Journal of Finance

Выпуск N2 за 2000 год

Опубликовано на портале: 03-12-2007
Ronald Balvers, Yangru Wu, Eric Gilliland Journal of Finance. 2000.  Vol. 55. No. 2. P. 745-772. 
For U.S. stock prices, evidence of mean reversion over long horizons is mixed, possibly due to lack of a reliable long time series. Using additional cross-sectional power gained from national stock index data of 18 countries during the period 1969 to 1996, we find strong evidence of mean reversion in relative stock index prices. Our findings imply a significantly positive speed of reversion with a half-life of three to three and one-half years. This result is robust to alternative specifications and data. Parametric contrarian investment strategies that fully exploit mean reversion across national indexes outperform buy-and-hold and standard contrarian strategies
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