site stats

Poterba and summers 1988

WebIn empirical studies that involve long-term UK market evidence Poterba and Summers (1988) find negative serial correlation consistent with overreaction, while Dissanaike (1997) employs contrarian strategies adjusted for risk and also finds that past losers outperform past winners. Furthermore, Brouwer et al., (1997) come to similar Web1 Jul 2024 · 政大學術集成(NCCU Academic Hub)是以機構為主體、作者為視角的學術產出典藏及分析平台,由政治大學原有的機構典藏轉 型而成。

Mean reversion in stock prices: Evidence from emerging markets

WebPoterba and Summers (1988) observe that the failure to distinguish between low-frequency mean reversion and complete unpredictability of returns lies in the power of the tests used to examine them. For instance, a test of mean reversion in 5-year stock market returns based on the data available from the Center for Research in Security Prices WebThis implies a long horizon mean reversion of the kind documented by Poterba and Summers (1988), Fama and French (1998a), and Campbell and Shiller (1988). Thus, apart from the very short returns that exhibit positive autocorrelation, the model reproduces the empirical record. TABLE 8.4. Autocorrelation of Log-Returns sbi market yard ifsc code https://calderacom.com

NBER WORKING PAPER SERIES

WebJames M. Poterba & Lawrence H. Summers. Working Paper 1353. DOI 10.3386/w1353. Issue Date May 1984. This paper tests several competing hypotheses about the economic … WebThis feature of realized returns has found some empirical support in recent studies of stock -prices (Fama and French, 1988; Poterba and Summers, 1988; Lo and MacKinlay, 1988). Our model also predicts th-at the stock market overreacts to news because such news triggers positive feedback trading. WebPoterba and Summers (1988) yet retains the rationality of Fama and French (1988). In the rational speculative bubbles model, investors realize that prices exceed fundamental … should the media be regulated

Social and Economic Studies 43:4 (1994) ISSN: 0037-7651

Category:Mean Reversion in Stock Prices: Evidence and Implications - SSRN

Tags:Poterba and summers 1988

Poterba and summers 1988

Evidence for Mean Reversion in Equity Prices

WebThe VR test is often used (see Cochrane, 1988; Lo and MacKinlay, 1988; Poterba and Summers, 1988; among others) to test the hypothesis that a given time series or its first difference (or return), xt =yt −yt−1, is a collection of i.i.d. observations or that it follows a martingale difference sequence. Define the VR of k-period return as V ... Web1988, Poterba and Summers 1988 and Baxter 1994). The theoretical model, which largely follows that of Malliaropulos (1998), predicts a negative relationship. The fourth contribution, which is the primal objective of this paper, is to investigate the determinants of the dynamic link between the two series. ...

Poterba and summers 1988

Did you know?

Web20 Dec 2015 · Sheehan(1988) find smallerUS firms morelikely controllingshareholder. Nonetheless, Morck et al. (1988), Holderness et al. (1999) othersreport blockholders owning 20% significantnumber U.S.firms. Anderson Reeb(2003) find manylarge United States firms retain connections foundingfamilies, even when those families control little …

http://fmwww.bc.edu/repec/mmfc05/paper64.pdf Web(1984), Fama and French (1988a, b) for the U.S. market, Poterba and Summers (1988), Cutler, Poterba and Summers (1991) for U.S. and European markets and Sentana and Wadhwani (1991) for the Japanese market, among many. Fama and French (1988a) and Poterba and Summers (1988) show that there appears to be evidence for a mean …

WebJames M. Poterba Lawrence H. Summers Working Paper No. 2343 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 August 1987 … Web[1] Poterba and Summers, 1988, Mean Reversion in Stock Prices: Evidence and Implications, Journal of Financial Economics 22, 27-59 [2] Fama and French, 1988, Permanent and …

WebPoterba, James M. and Lawrence H. Summers. "The Economic Effects of Dividend Taxation." Recent Advances in Corporate Finance, edited by Edward Altman and Marti Subrahmanyam, pp. 227-284. Homewood, IL: Richard D. Irwin Publishers, 1985. Topics Financial Economics

WebDeBondt and Thaler (1985, 1987), DeLong, Shleifer, Summers, and Waldmann (1989), Lehmann (1988), Poterba and Summers (1988), and Shefrin and Statman (1985)]. Although such a hypothesis does imply predictability, since what goes down must come up and vice versa, a well-articulated equilibrium theory of overreaction with sharp sbi marthandam branch ifsc codeWebexplained by the variability of the volatility of stock returns. Against this, Poterba and Summers (1986) have argued that volatility is not persistent enough to account for much … should the menendez brothers be releasedWebIn a related literature, a number of studies have found evidence of mean reversion in returns on stock portfolios at horizons of three to five years or longer (Poterba and Summers 1988; Fama and French 1988). This implies that a long period of below-average stock returns increases the likelihood of a period of above-average returns in the future. sbi maruthankuzhy branchWeb25 Jun 2014 · One, partial, explanation comes from the observation by various researchers including Poterba and Summers (1988) and Fama and French (1988), of positive short-term autocorrelation among stock returns and negative longer-term autocorrelation. should the matter be urgentWeb27 Apr 2000 · James M. Poterba. Massachusetts Institute of Technology (MIT) - Department of Economics; National Bureau of Economic Research (NBER) Lawrence H. Summers. … should the midwest be capitalizedWebPoterba and Summers (1988) observe that the failure to distinguish between low-frequency mean reversion and complete unpredictability of returns lies in the power of the tests … sbi masjid moth contact numberWebPoterba and Summers (1988) analyzed real (as distinct from excess) returns excluding dividends and computed from monthly averages of stock prices as reported by the … sbi marol branch contact number