Kim, Myung Jig; Nelson, Charles R; Startz, Richard - In: Review of Economic Studies 58 (1991) 3, pp. 515-28
This paper reexamines the empirical evidence for mean-reverting behavior in stock prices. Comparison of data before and after World War II shows that mean reversion is entirely a prewar phenomenon. Using randomization methods to calculate significance levels, the authors find that the full...