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Potential gains from predicting the timing of stock market persistence and mean reversion

Hsieh, Heng-Hsing - In: Investment management and financial innovations 10 (2013) 3, pp. 55-67

Persistent link: https://www.econbiz.de/10010201509

Growth and value hybrid valuation model based on mean reversion

Yeh, I-Cheng; Lien, Che-hui - In: Applied economics 49 (2017) 50, pp. 5092-5116

Persistent link: https://www.econbiz.de/10011844893

Mean reversion in stock prices : implications for long-term investors

Spierdijk, Laura; Bikker, Jacob A. - 2012

Persistent link: https://www.econbiz.de/10009526204

Valuation ratios and stock return predictability in South Africa : is it there?

Gupta, Rangan; Modise, Mampho P. - In: Emerging markets finance & trade : a journal of the … 48 (2012) 1, pp. 70-82

Persistent link: https://www.econbiz.de/10009620175

Portfolio and consumption decisions under mean-revering returns : an exact solution for complete markets

Wachter, Jessica - 2002

Persistent link: https://www.econbiz.de/10001701001

Portfolio and consumption decisions under mean-reverting returns : an exact solution for complete markets

Wachter, Jessica - In: Journal of financial and quantitative analysis : JFQA 37 (2002) 1, pp. 63-91

Persistent link: https://www.econbiz.de/10001661618

Mean Reversion in Stock Prices : Implications for Long-Term Investors

Spierdijk, Laura - 2012

This paper discusses the implications of mean reversion in stock prices for long-term investors such as pension funds. We start with a general definition of a mean-reverting price process and explain how mean reversion in stock prices is related to mean reversion in stock returns. Subsequently,...

Persistent link: https://www.econbiz.de/10013107332

Mean reversion in stock prices : implications for long-term investors

Spierdijk, Laura; Bikker, Jacob A. - In: Pension fund economics and finance : efficiency, …, (pp. 119-139). 2018

Persistent link: https://www.econbiz.de/10011818669

Conditional mean reversion of financial ratios and the predictability of returns

Boucher, Christophe; Jasinski, A.; Tokpavi, S. - In: Journal of international money and finance 137 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014478119

Non Gaussian returns and pension funds asset allocation

Hamayon, Stéphane; Legros, Florence; Pradat, Yannick - In: Review of accounting & finance 15 (2016) 4, pp. 416-444

Persistent link: https://www.econbiz.de/10011645392

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