Chen, An-Sing; Lin, Shih-Chieh - In: Journal of Banking & Finance 35 (2011) 2, pp. 471-477
Using a momentum threshold autoregression model, we find evidence showing that there is an asymmetrical mean reversion behavior in return on equity (ROE). Results show that the speed of adjustment of ROE towards the long-term mean is slower in the ROE increasing regimes than in the ROE...