Mean Reversion Across National Stock Markets And Parametric Contrarian Investment Strategies  

Oleh:

Glliland, Erik ; Balvers, Ronald ; Yangru, Wu

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 2 (2000), page 745-772.
Topik: stock market; stock prices; trends; investment policy; securities markets; many countries; studies
Fulltext: p 745.pdf (227.85KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

For U. S. stock prices, evidence of mean reversion over long horizon is mixed, possibly due to lack a reliable long time series. Using additional cross - sectional power gained from national stock idnex data of 18 countries during the period 1969 to 1996, we find strong evidence of mean reversion in relative stock index prices. Our findings imply a significantly positive speed of reversion with a half - life to three to three and one - half years. This result is robust to alternative specifications and data. Parametric contrarian investment strategies that fully exploit mean reversion across national indexes outperform buy - and - hold and standard contrarian strategies.

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