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| Author: | Cochran, S. DeFina, R. |
| Title: | New evidence on predictability in world equity markets |
| Journal: | Journal of Business Finance and Accounting
1995 : SEP, VOL. 22:6, p. 845-854 |
| Index terms: | INTERNATIONAL MARKETS STATISTICS |
| Language: | eng |
| Abstract: | This paper examines whether international stock price indexes contain slowly mean-reverting components. Empirical evidence is presented based on regression-based tests and variance-ratio statistics. The regression results indicate that few of the eighteen country indexes studied exhibit variations during the past two decades consistent with mean reversion in long-horizon returns. Heteroscedasticity-consistent tests using variance-ratio statistics reinforce these findings. |
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