Eraker, Bjørn - In: Journal of Empirical Finance 15 (2008) 3, pp. 503-517
This paper studies models in which the a stock price contains a random walk and a stationary component, as in Fama and French [Fama, Eugene F., and Kenneth R. French, 1988, Permanent and Temporary Components of Stock Returns, Journal of Political Economy 96, 246-273.] and Poterba and Summers...