Mean Reversion of Low and High Stock Returns
نویسندگان
چکیده
This study investigates mean reversion of low and high stock returns for one- to ten-year periods, using 1,000 random block bootstraps. Regressions later against prior large-cap stocks indicate that generally exhibit more significant than returns. Small-cap display greater two four years five ten years. show much stronger persistent in stocks. Both large- small-cap stocks, however, provide substantially higher following lower
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ژورنال
عنوان ژورنال: Journal of accounting and finance
سال: 2023
ISSN: ['2158-3625']
DOI: https://doi.org/10.33423/jaf.v23i3.6278