Spierdijk, Laura; Bikker, Jacob A.; van den Hoek, Pieter - In: Journal of International Money and Finance 31 (2012) 2, pp. 228-249
This paper analyzes mean reversion in the stock markets of 18 OECD countries during the years 1900–2009. In this period it takes stock prices about 18.5 years, on average, to absorb half of a shock. However, using a rolling-window approach we establish large fluctuations in the speed of mean...
