Click to login and read the full article.
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600
Abstract
This study finds evidence of mean reversion for the 228 highest and 136 lowest monthly rolling annual returns, identified by a rolling equality test over a 125-year period. The distribution of returns in processes of mean reversion further suggests the dominance of optimistic speculations over pessimistic selling. That is, probabilities for market exuberance—returns remaining positive after the stock market reaches a peak or reverting to positive after the stock market hits a low point—are higher than those for either market corrections (returns becoming negative after the market peaks) or market anxiety (returns remaining negative after the market troughs). The results also indicate that positive returns demonstrate higher persistency than negative returns.
- © 2013 Pageant Media Ltd
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600