Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K.
The evidence of slowly mean-reverting components in stock prices has been controversial. The hypothesis of stock price mean-reversion is tested using a regression model that yields the highest asymptotic power among a class of regression tests. Although the evidence that the equally weighted index of stocks exhibits mean-reversion is significant in the period 1926-88, this phenomenon is entirely concentrated in January. In the postwar period, both the equally weighted and the value-weighted indices exhibit seasonal mean-reversion in January. A similar phenomenon is also observed for the equally weighted index of stocks traded on the London Stock Exchange. Copyright 1991 by American Finance Association.
Year of publication: |
1991
|
---|---|
Authors: | Jegadeesh, Narasimhan |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 46.1991, 4, p. 1427-44
|
Publisher: |
American Finance Association - AFA |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Risk and expected returns of private equity investments: Evidence based on market prices
Jegadeesh, Narasimhan, (2010)
-
Predictable behavior of security returns and test of asset pricing models
Jegadeesh, Narasimhan, (1987)
-
Three essays in behavioral finance
Hwang, Byoung-Hyoun, (2009)
- More ...