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  • 1995-1999  (2)
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  • 1
    Digitale Medien
    Digitale Medien
    Mean Reversion in the United Kingdom Stock Market and its Implications for a Profitable Trading Strategy (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Journal of business finance & accounting 23 (1996), S. 0 
    Details
    ISSN: 1468-5957
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Wirtschaftswissenschaften
    Notizen: 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.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/1468-5957.00085
    Standort Signatur Erwartet Verfügbarkeit
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    Artikel (Nationallizenzen)
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  • 2
    Digitale Medien
    Digitale Medien
    Is Stock Market Overreaction Persistent Over Time? (1997)
    Oxford, UK and Cambridge, USA : Blackwell Publishers Ltd
    Journal of business finance & accounting 24 (1997), S. 0 
    Details
    ISSN: 1468-5957
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Wirtschaftswissenschaften
    Notizen: This paper examines the stability and persistence of the market overreaction hypothesis as posited by DeBondt and Thaler (1985 and 1987), and reinforced by Chopra, Lakonishok, and Ritter (1992). Using monthly CRSP data for the period 1926 through 1992, we find that returns obtained from a contrarian investment strategy are not time-stationary. Specifically, there is no winner-loser portfolio relationship during the post-war period of 1940_50s. The relationship resumes during the pre-energy-crisis subperiod, but weakens again during the post-energy-crisis subperiod. The effectiveness of trading based upon the overreaction hypothesis is, therefore, suspect.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/1468-5957.00094
    Standort Signatur Erwartet Verfügbarkeit
    BibTip Andere fanden auch interessant ...
    Artikel (Nationallizenzen)
    Volltext
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