Electronic Resource
Oxford, UK
:
Blackwell Publishing Ltd
Journal of business finance & accounting
23 (1996), S. 0
ISSN:
1468-5957
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Economics
Notes:
Following Fama and French (1988), we examine the mean reverting behavior of the United Kingdom stock market total returns over the period 1919 through 1990. Evidence of statistically significant mean reversion is only found during the pre-war subperiod. A contrarian investment strategy, however, does not enhance performance over a naive buy and hold investment strategy. Further, an application of Richardson and Stock's (1989) alternative asymptotic distribution theory suggests that the mean reversion detected during the pre-war period may reflect the poor finite sample approximation of traditional fixed overlap asymptotic distribution theory.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/1468-5957.00085
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