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

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Customer Satisfaction and Stock Prices: High Returns, Low Risk

Do investments in customer satisfaction lead to excess returns? If so, are these returns associated with higher stock market risk? The empirical evidence presented in this article suggests that the answer to the first question is yes, but equally remarkable, the answer to the second question is no, suggesting that satisfied customers are economic assets with high returns/low risk. Although thes...

متن کامل

Fractional Integration and Mean Reversion in Stock Prices

The Efficient Market Hypothesis (EMH) is frequently tested by measuring the degree of mean reversion in stock prices, since highly predictable changes might indicate that investors are not fully rational. Existing studies often rely on statistical tests which impose too restrictive assumptions on the time series behaviour of the series of interest, and have very low power. This paper uses a tes...

متن کامل

A Mean-Reversion Theory of Stock-Market Crashes

Errors in the perception of mean-reversion expectations can cause stockmarket crashes. This view was proposed by Fischer Black after the stockmarket crash of 1987. I discuss this concept and specify a stock-price model with mean-reversion in returns. Using daily data of the Dow Jones Industrial Average and the S&P500 index I show that mean-reversion in returns is a transient but recurring pheno...

متن کامل

Mean Reversion in Stock Index Futures Markets: a Nonlinear Analysis

written while he was a Visiting Scholar at the Federal Reserve Bank of St. Louis. The authors are grateful to Abhay Abhyankar, Bernard Dumas, Mark Taylor, and Dick van Dijk for useful conversations or comments on previous drafts. The usual disclaimer applies, meaning that the authors alone are responsible for any errors that may remain and for the views expressed in the paper. *Correspondence a...

متن کامل

Mean percentage of returns for stock market linked savings accounts

Stock market linked savings accounts have become more and more popular. The returns of these accounts are random so the returns, even the initial capital, are not guaranteed. They are very much different from the familiar fixed-term-fixed-rate savings accounts. The aim of this paper is to perform the stochastic and numerical analysis on the stock market linked savings accounts in order to estab...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Journal of accounting and finance

سال: 2023

ISSN: ['2158-3625']

DOI: https://doi.org/10.33423/jaf.v23i3.6278