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| Tekijä: | Bessembinder, H. |
| Otsikko: | Mean reversion in equilibrium asset prices: evidence from the futures term structure |
| Lehti: | Journal of Finance
1995 : MAR, VOL. 33:1, p. 361-376 |
| Asiasana: | EQUILIBRIUM ANALYSIS ASSETS PRICES |
| Kieli: | eng |
| Tiivistelmä: | The authors use the term structure of future prices to test whether investors anticipate mean reversion in spot asset prices. The empirical results indicate mean reversion in each market the authors examine. For agricultural commodities and crude oil the magnitude of the estimated mean reversion is large; for example, point estimates indicate that 44 percent of a typical spot oil price shock is expected to be reversed over the subsequent eight months. |
SCIMA