Anomalies: A Mean-Reverting Walk Down Wall Street

Anomalies: A Mean-Reverting Walk Down Wall Street Abstract Stock prices do appear to be somewhat predictable. In particular, if one takes a long-term perspective (3–7 years) or examines individual securities that have experienced extreme price movements, then stock returns display significant negative serial correlation, in other words, prices are mean reverting. This column reviews some of this evidence. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Economic Perspectives American Economic Association

Anomalies: A Mean-Reverting Walk Down Wall Street

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Publisher
American Economic Association
Copyright
Copyright © 1989 by the American Economic Association
Subject
Features
ISSN
0895-3309
D.O.I.
10.1257/jep.3.1.189
Publisher site
See Article on Publisher Site

Abstract

Abstract Stock prices do appear to be somewhat predictable. In particular, if one takes a long-term perspective (3–7 years) or examines individual securities that have experienced extreme price movements, then stock returns display significant negative serial correlation, in other words, prices are mean reverting. This column reviews some of this evidence.

Journal

Journal of Economic PerspectivesAmerican Economic Association

Published: Feb 1, 1989

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