Mukherji, Sandip - In: American journal of finance and accounting 7 (2022) 1, pp. 53-70
This study investigates asymmetric mean reversion in the real returns of large- and small-cap US stocks for one- to ten-year periods. The return distributions are estimated with 1,000 random block bootstraps of 240-month returns from 1926-2017. Large-cap stock returns show significant asymmetric...
