| Author: | Fraser, P. McKaig, A. J. |
| Title: | Do investors expect mean reversion in asset prices ? |
| Journal: | Journal of Business Finance and Accounting
1999 : JAN/MAR, VOL. 26:1-2, p. 57-81 |
| Index terms: | Stock markets Prices Economic theory Rate of return United Kingdom Europe |
| Language: | eng |
| Abstract: | The existence and source of equilibrium mean reversion in the United Kingdom's non-financial and financial asset prices over the period April 6, 1981, through October 31, 1995, are investigated. The results indicate substantial expected transitory components in commodity and metals markets but report expected mean reversion for financial assets only at the near to maturity horizons. Implied cash flow yields appear to have a role in driving the mean reverting process particularly at short horizons while the role of interest rate movements varied across assets and across maturities. The results reject the existence of a common risk premium across market term structures. |
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