Bali, Turan G.; Demirtas, K. Ozgur; Levy, Haim - In: Journal of Banking & Finance 32 (2008) 5, pp. 767-782
This paper provides new evidence on the time-series predictability of stock market returns by introducing a test of nonlinear mean reversion. The performance of extreme daily returns is evaluated in terms of their power to predict short- and long-horizon returns on various stock market indices...