Mean‐reversion risk and the random walk hypothesis
نویسندگان
چکیده
The nature of risk and long-term returns is not fully understood. There need for a measure at multiple horizons. Frequency domain digital signal processing, with an additive noise model, tests the random walk hypothesis individual firm total idiosyncratic 2-month to 4-year periods. All firms have significant 12-month risk. Monthly effects influence small firms. Large mid-cap are influenced by annual 8-year mean reversions. has mean-reversion Results suggest that single-period composed calendar non-calendar-length variances.
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ژورنال
عنوان ژورنال: Review of Financial Economics
سال: 2023
ISSN: ['1873-5924', '1058-3300']
DOI: https://doi.org/10.1002/rfe.1184