We investigate the existence and source of equilibrium mean reversion in UK non-financial and financial asset prices over the period 6 April, 1981, through 31 October, 1995. Our results indicate substantial expected transitory components in commodity and metals markets but report expected mean...

Using daily settlement prices for a range of real and financial futures over the period 6 April 1981-31 October 1995, this paper considers the extent to which, ex post, asset prices depart from random behaviour and investigates the efficiency of the markets within which the prices of the assets...