search query: @author Nelson, C. R. / total: 7
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| Author: | Kim, M. J. Nelson, C. R. Startz, R. |
| Title: | Mean reversion in stock prices? A reappraisal of the empirical evidence. |
| Journal: | Review of Economic Studies
1991 : MAY, VOL. 58:195, p. 515-528 |
| Index terms: | SHARE PRICES MARKETS |
| Language: | eng |
| Abstract: | The empirical evidence for mean-reverting behaviour in stock prices is re-examined. Comparison of data before and after World War II shows that mean reversion is entirely a pre-war phenomenon. Using randomization methods to calculate significance levels, it is found that the full sample evidence for mean reversion is weaker than previously indicated by Monte Carlo methods under a normal assumption. Further, the switch to mean-averting behaviour after the war is about to be too strong to be compatible with sampling variation. These findings are interpreted as the evidence of a fundamental change in the stock returns process and conjecture that it may be due to the resolution of the uncertainties of the 1930's and 1940's. |
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