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  • 1995-1999  (2)
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  • 1
    Electronic Resource
    Electronic Resource
    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
    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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    Paper (German National Licenses)
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  • 2
    Electronic Resource
    Electronic Resource
    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
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: 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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1468-5957.00094
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    Paper (German National Licenses)
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