Interpreting mean reversion in stock returns
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- Ramzi Boussaidi, 2017. "The winner-loser effect in the Tunisian stock market: A multidimensional risk-based explanation," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 17(3), pages 178-189, September.
- L. Spierdijk & J.A. Bikker, 2012.
"Mean Reversion in Stock Prices: Implications for Long-Term Investors,"
Working Papers
12-07, Utrecht School of Economics.
- Laura Spierdijk & Jacob Bikker, 2012. "Mean Reversion in Stock Prices: Implications for Long-Term Investors," DNB Working Papers 343, Netherlands Central Bank, Research Department.
- Spierdijk, Laura & Bikker, Jacob A. & van den Hoek, Pieter, 2012.
"Mean reversion in international stock markets: An empirical analysis of the 20th century,"
Journal of International Money and Finance, Elsevier, vol. 31(2), pages 228-249.
- L. Spierdijk & J.A. Bikker & P. van den Hoek, 2010. "Mean Reversion in International Stock Markets: An Empirical Analysis of the 20th Century," Working Papers 10-07, Utrecht School of Economics.
- Gropp, Jeffrey, 2004. "Mean reversion of industry stock returns in the U.S., 1926-1998," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 537-551, September.
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