Search Results

There are 21198 results for: content related to: Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure

  1. Do Investors Expect Mean Reversion in Asset Prices?

    Journal of Business Finance & Accounting

    Volume 26, Issue 1-2, January/March 1999, Pages: 57–81, Patricia Fraser and Andrew J. McKaig

    Article first published online : 3 MAR 2003, DOI: 10.1111/1468-5957.00248

  2. Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies

    The Journal of Finance

    Volume 55, Issue 2, April 2000, Pages: 745–772, Ronald Balvers, Yangru Wu and Erik Gilliland

    Article first published online : 17 DEC 2002, DOI: 10.1111/0022-1082.00225

  3. Mean Reversion and the Comovement of Equilibrium Spot and Futures Prices: Implications from Alternative Data-Generating Processes

    Journal of Futures Markets

    Volume 21, Issue 8, August 2001, Pages: 769–796, Tian Zeng

    Article first published online : 7 JUN 2001, DOI: 10.1002/fut.1804

  4. Mean Reversion in GNP and Stock Prices: An Adjustment Cost Hypothesis

    Kyklos

    Volume 46, Issue 1, February 1993, Pages: 87–104, PARANTAP BASU

    Article first published online : 5 MAY 2007, DOI: 10.1111/j.1467-6435.1993.tb02408.x

  5. You have free access to this content
    Can a well-fitted equilibrium asset-pricing model produce mean reversion?

    Journal of Applied Econometrics

    Volume 9, Issue 1, January/March 1994, Pages: 19–29, M. Bonomo and R. Garcia

    Article first published online : 7 NOV 2006, DOI: 10.1002/jae.3950090103

  6. PICKING WINNERS? A SURVEY OF THE MEAN REVERSION AND OVERREACTION OF STOCK PRICES LITERATURE

    Journal of Economic Surveys

    Volume 10, Issue 2, June 1996, Pages: 123–158, William P. Forbes

    Article first published online : 27 OCT 2006, DOI: 10.1111/j.1467-6419.1996.tb00007.x

  7. Mean Reversion in the United Kingdom Stock Market and its Implications for a Profitable Trading Strategy

    Journal of Business Finance & Accounting

    Volume 23, Issue 9-10, December 1996, Pages: 1379–1395, David A. Sauer and Carl R. Chen

    Article first published online : 28 JUN 2008, DOI: 10.1111/1468-5957.00085

  8. Do Beta Pricing Models Explain January Mean Reversion in Stock Returns?

    Financial Review

    Volume 34, Issue 1, February 1999, Pages: 71–89, Partha Gangopadhyay and Jishnu Sen

    Article first published online : 9 MAR 2005, DOI: 10.1111/j.1540-6288.1999.tb00445.x

  9. Mean Reversion in Profitability for Non-listed Firms

    European Financial Management

    Volume 18, Issue 5, November 2012, Pages: 929–949, Kjell Bjørn Nordal and Randi Næs

    Article first published online : 16 AUG 2010, DOI: 10.1111/j.1468-036X.2010.00561.x

  10. MACROECONOMIC VARIABLES AND SEASONAL MEAN REVERSION IN STOCK RETURNS

    Journal of Financial Research

    Volume 19, Issue 3, Fall 1996, Pages: 395–416, Partha Gangopadhyay

    Article first published online : 27 AUG 2014, DOI: 10.1111/j.1475-6803.1996.tb00221.x

  11. Do Inventories Matter in Dealership Markets? Evidence from the London Stock Exchange

    The Journal of Finance

    Volume 53, Issue 5, October 1998, Pages: 1623–1656, Oliver Hansch, Narayan Y. Naik and S. Viswanathan

    Article first published online : 17 DEC 2002, DOI: 10.1111/0022-1082.00067

  12. The time series behaviour of asset prices: evidence from UK futures markets

    International Journal of Finance & Economics

    Volume 3, Issue 2, April 1998, Pages: 143–155, Patricia Fraser and Andrew J. McKaig

    Article first published online : 21 DEC 1998, DOI: 10.1002/(SICI)1099-1158(199804)3:2<143::AID-IJFE51>3.0.CO;2-B

  13. You have free access to this content
    Are Stocks Really Less Volatile in the Long Run?

    The Journal of Finance

    Volume 67, Issue 2, April 2012, Pages: 431–478, ĽUBOŠ PÁSTOR and ROBERT F. STAMBAUGH

    Article first published online : 27 MAR 2012, DOI: 10.1111/j.1540-6261.2012.01722.x

  14. Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage-induced or Statistical Illusion?

    The Journal of Finance

    Volume 49, Issue 2, June 1994, Pages: 479–513, MERTON H. MILLER, JAYARAM MUTHUSWAMY and ROBERT E. WHALEY

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1994.tb05149.x

  15. Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates

    The Journal of Finance

    Volume 60, Issue 5, October 2005, Pages: 2283–2331, JAIME CASASSUS and PIERRE COLLIN-DUFRESNE

    Article first published online : 16 SEP 2005, DOI: 10.1111/j.1540-6261.2005.00799.x

  16. TIME-CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS

    Mathematical Finance

    Volume 24, Issue 2, April 2014, Pages: 289–330, Lingfei Li and Vadim Linetsky

    Article first published online : 2 NOV 2012, DOI: 10.1111/mafi.12003

  17. An Anatomy of Price Dynamics in Illiquid Markets: Analysis and Evidence from Local Housing Markets

    Real Estate Economics

    Volume 32, Issue 1, March 2004, Pages: 1–32, Dennis R. Capozza, Patric H. Hendershott and Charlotte Mack

    Article first published online : 17 FEB 2004, DOI: 10.1111/j.1080-8620.2004.00082.x

  18. SMALL OPEN ECONOMIES AND MEAN REVERTING NOMINAL EXCHANGE RATES

    Australian Economic Papers

    Volume 51, Issue 2, June 2012, Pages: 85–95, JOSTEIN TVEDT

    Article first published online : 1 JUN 2012, DOI: 10.1111/j.1467-8454.2012.00424.x

  19. Are there nonlinearities in short-term interest rates?

    Accounting & Finance

    Volume 46, Issue 1, March 2006, Pages: 149–167, Sirimon Treepongkaruna and Stephen Gray

    Article first published online : 9 MAR 2006, DOI: 10.1111/j.1467-629X.2006.00151.x

  20. Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K.

    The Journal of Finance

    Volume 46, Issue 4, September 1991, Pages: 1427–1444, NARASIMHAN JEGADEESH

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1991.tb04624.x