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Mean Reversion

Top 10 Papers

1. POTERBA, J.M. and L.H. SUMMERS, 1989. Mean Reversion in Stock Prices: Evidence and Implications. NBER Working Paper. [Cited by 780] (40.17/year)
2. FRANKEL, J.A. and A.K. ROSE, 1996. A panel project on purchasing power parity: Mean reversion within and between countries. Journal of International Economics. [Cited by 424] (34.14/year)
3. CECCHETTI, S.G., P.O.K.S. LAM and N.C. MARK, 1990. Mean Reversion in Equilibrium Asset Prices. NBER Working Paper. [Cited by 298] (16.18/year)
4. TAYLOR, M.P., D.A. PEEL and L. SARNO, 2001. Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity …. International Economic Review. [Cited by 285] (38.41/year)
5. KIM, M.J.I.G., C.R. NELSON and R. STARTZ, 1991. Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence. NBER Working Paper. [Cited by 233] (13.38/year)
6. POTERBA, J. and L. SUMMERS, 1988. Mean Reversion in Stock Returns: Evidence and Implications. Journal of Financial Economics. [Cited by 200] (9.79/year)
7. TAYLOR, A.M., 2001. … the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the …. Econometrica. [Cited by 203] (27.36/year)
8. VLAAR, P.J.G., et al., 1993. … Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroskedasticity and …. JOURNAL OF BUSINESS AND ECONOMIC STATISTICS. [Cited by 113] (7.33/year)
9. MILLER, M.H., J. MUTHUSWAMY and R.E. WHALEY, 1994. Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage-induced or Statistical …. JOURNAL OF FINANCE-NEW YORK-. [Cited by 155] (10.75/year)
10. BESSEMBINDER, H., et al., 1995. Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure. JOURNAL OF FINANCE-NEW YORK-. [Cited by 120] (8.94/year)

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