Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
986612 | Review of Financial Economics | 2011 | 6 Pages |
Abstract
This study uses a powerful nonparametric block bootstrap method and fresh data to examine the unresolved issue of mean reversion in stock returns. The results show that both large and small company stocks experienced significant mean reversion in returns for periods of 1 through 5 years during 1926–1966. In 1967–2007, there was significant mean reversion in 5-year returns of large company stocks, and 1-, 4-, and 5-year returns of small company stocks. The findings indicate that, although mean reversion in stock returns has weakened in recent decades, it persists, particularly for small company stocks.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Sandip Mukherji,