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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

Asymmetric mean reversion in low liquid markets : evidence from BRVM

Gbenro, Nathaniel; Moussa, Richard Kouamé - In: Journal of risk and financial management : JRFM 12 (2019) 1/38, pp. 1-19

This paper analyzes the mean reversion property on the west African stock market (in French, Bourse Régionale des Valeurs Mobilières BRVM). For this purpose, we use two daily indices: (i) the composite index (BRVMC) and (ii) the index of the 10 most liquid assets (BRVM10) collected from 3...

Persistent link: https://www.econbiz.de/10012022315

Threshold mean reversion in stock prices

Jawadi, Fredj - In: Risk management and value : valuation and asset price, (pp. 477-493). 2008

Persistent link: https://www.econbiz.de/10003686202

Nonlinear mean reversion in stock prices

Bali, Turan G.; Demirtas, K. Ozgur; Levy, Haim - In: Journal of banking & finance 32 (2008) 5, pp. 767-782

Persistent link: https://www.econbiz.de/10003702750

Momentum trading, mean reversal and overreaction in Chinese stock market

Wu, Yangru - In: Review of quantitative finance and accounting 37 (2011) 3, pp. 301-323

Persistent link: https://www.econbiz.de/10009301286

Erklärung von "Mean Reversion" auf internationalen Aktienmärkten

Tolksdorf, Norbert - 2002

Trotz jahrzehntelanger Forschung zur Gültigkeit der Hypothese informationseffizienter Kapitalmärkte (EMH) sind wesentliche damit verbundene Fragestellungen noch immer ungeklärt. Eine ist diejenige nach der Existenz und der Erklärung von zeitvariablen Überrenditen ("Time Varying Excess...