Mean reversion in stock prices: Evidence and Implications
TL;DR: In this article, the authors investigated whether stock prices are mean-reverting, using data from the United States and 17 other countries, and they found that there is positive and negative autocorrelation in returns over short horizons and negative auto-correlation over longer horizons.
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About: This article is published in Journal of Financial Economics. The article was published on 01 Oct 1988. and is currently open access. The article focuses on the topics: Mean reversion & Random walk hypothesis.
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Citations
The impact of mixed-frequency geopolitical risk on stock market returns
Jianlei Yang,Chunpeng Yang +1 more
TL;DR: In this paper, the authors use mixed-frequency GPR to explain and forecast stock market returns, and they show that the GPR estimates can be considered more significant and robust than those from an analogous common-frequency approach.
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Transient fads and the crash of ′87
TL;DR: Using a fad model with Markov-switching heteroscedasticity in both the fundamental and fad components, the authors examined the possibility that the 1987 stock market crash was an example of a short-lived fad.
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Financial Liberalization and Stock Price Behaviour in Asian Emerging Markets
TL;DR: In this article, the random walk hypothesis and market efficiency for seven Asian emerging markets as a result of the influence of financial market integration are analyzed. But the results show that the weak-form market efficiency of these markets does not follow a random walk in the pre-liberalization period.
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Bayes factors for discrete observations from diffusion processes
TL;DR: In this paper, an approach to model selection for a time series of data on a fine time scale is presented, where the underlying process generating the data is modelled as a continuous time stochastic process and the underlying continuous processes are assumed to be diffusions with time varying drift and diffusion coefficient.
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References
Efficient capital markets: a review of theory and empirical work*
TL;DR: Efficient Capital Markets: A Review of Theory and Empirical Work Author(s): Eugene Fama Source: The Journal of Finance, Vol. 25, No. 2, Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American Finance Association New York, N.Y. December, 28-30, 1969 (May, 1970), pp. 383-417 as mentioned in this paper
Does the Stock Market Overreact
TL;DR: In this article, a study of market efficiency investigates whether people tend to "overreact" to unexpected and dramatic news events and whether such behavior affects stock prices, based on CRSP monthly return data, is consistent with the overreaction hypothesis.
The Advanced Theory of Statistics.
G. M. Clarke,Maurice G. Kendall,Alan Stuart +2 more
- 01 Jan 1978
6.8K
Asset prices in an exchange economy
TL;DR: In this article, the authors examine the stochastic behavior of equilibrium asset prices in a one-good, pure exchange economy with identical consumers, and derive a functional equation for price as a function of the physical state of the economy.