Murthy, Vasudeva; Washer, Kenneth; Wingender, John - In: Applied Financial Economics 21 (2011) 22, pp. 1703-1709
This article extends the empirical literature on the efficiency of stock markets in the US by applying a battery of unit root tests to empirically ascertain whether stock prices are mean reverting. This article, unlike previous studies, employs a disaggregated approach using the daily closing...