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Challenges to stock market efficiency: evidence from mean reversion studies

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  • Charles Engel
  • Charles S. Morris

Abstract

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  • Charles Engel & Charles S. Morris, 1991. "Challenges to stock market efficiency: evidence from mean reversion studies," Economic Review, Federal Reserve Bank of Kansas City, vol. 76(Sep), pages 21-35.
    • Handle: RePEc:fip:fedker:y:1991:i:sep:p:21-35:n:v.76no.5
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    File URL: https://www.kansascityfed.org/documents/70/1991-Challenges%20to%20Stock%20Market%20Efficiency:%20Evidence%20from%20Mean%20Reversion%20Studies.pdf
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    Citations

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    Cited by:

    1. Pernagallo, Giuseppe & Torrisi, Benedetto, 2020. "Blindfolded monkeys or financial analysts: Who is worth your money? New evidence on informational inefficiencies in the U.S. stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
    2. Pat Wilson & John Okunev & Guy Ta, 1994. "Are Real Estate and Securities Markets Integrated? Some Australian Evidence," Working Paper Series 42, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    3. John Okunev & Patrick J. Wilson, 1997. "Using Nonlinear Tests to Examine Integration Between Real Estate and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(3), pages 487-503, September.
    4. Ratner, Mitchell, 1996. "Investigating the behavior and characteristics of the Madrid Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 135-149, January.
    5. Jim Clayton, 1998. "Further Evidence on Real Estate Market Efficiency," Journal of Real Estate Research, American Real Estate Society, vol. 15(1), pages 41-58.
    6. Ajwa, Martine Therese, 1995. "Technical trading patterns: can they truly predict price movements and can they be exploited for excess returns?," ISU General Staff Papers 1995010108000011754, Iowa State University, Department of Economics.

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    Keywords

    Stock market;

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