Mean Reversion

Top 10 Important Papers

POTERBA, J.M. and L.H. SUMMERS, 1989. Mean Reversion in Stock Prices: Evidence and Implications. [Cited by 704] (38.25/year)
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 360] (31.56/year)
KIM, M.J., C.R. NELSON and R. STARTZ, 1991. Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence. The Review of Economic Studies. [Cited by 182] (11.09/year)
CECCHETTI, S.G., P.S. LAM and N.C. MARK, 1990. Mean Reversion in Equilibrium Asset Prices. The American Economic Review. [Cited by 232] (13.33/year)
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 189] (29.51/year)
SVENSSON, L.E.O., 1992. Assessing Target Zone Credibility: Mean Reversion and Devaluation Expectations in the ERM 1979-1992. NBER Working Paper. [Cited by 105] (6.82/year)
POTERBA, J. and L. SUMMERS, 1988. Mean Reversion in Stock Returns: Evidence and Implications. Journal of Financial Economics. [Cited by 157] (8.09/year)
TAYLOR, A.M., 2001. … the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the …. Econometrica. [Cited by 168] (26.23/year)
JORION, P. and R.J. SWEENEY, 1996. Mean reversion in real exchange rates: evidence and implications for forecasting. Journal of International Money and Finance. [Cited by 104] (9.12/year)
DENG, S., 2000. Stochastic Models of Energy Commodity Prices and Their Applications: Mean-reversion with Jumps and …. ucei.berkeley.edu. [Cited by 115] (15.53/year)

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FORBES, W.P., 1996. Picking Winners? A Survey of the Mean Reversion and Overreaction of Stock Prices Literature. Journal of Economic Surveys. [Cited by 13] (1.14/year)
FRANKEL, J.A. and A. ROSE, 1996. Mean reversion within and between countries: a panel project on purchasing power parity. Journal of International Economics. [Cited by 11] (0.96/year)
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 360] (31.56/year)
GIL-ALANA, L.A., 2000. Mean reversion in the real exchange rates. Economics Letters. [Cited by 62] (8.37/year)
GROPP, J., 2004. Mean reversion of industry stock returns in the US, 1926-1998. Journal of Empirical Finance. [Cited by 11] (3.23/year)
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JEGADEESH, N., 1991. Seasonality in Stock Price Mean Reversion: Evidence from the US and the UK. The Journal of Finance. [Cited by 70] (4.27/year)
JOG, V. and H. SCHALLER, 1994. Finance Constraints and Asset Pricing: Evidence on Mean Reversion. Journal of Empirical Finance. [Cited by 11] (0.82/year)
JONES, C.S., 2003. Nonlinear Mean Reversion in the Short-Term Interest Rate. Review of Financial Studies. [Cited by 61] (13.85/year)
JORION, P. and R.J. SWEENEY, 1996. Mean reversion in real exchange rates: evidence and implications for forecasting. Journal of International Money and Finance. [Cited by 104] (9.12/year)
KILIAN, L. and M.P. TAYLOR, 2003. Why is it so difficult to beat the random walk forecast of exchange rates?. Journal of International Economics. [Cited by 195] (44.26/year)
KIM, C.J., C.R. NELSON and R. STARTZ, 1998. Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization. Journal of Empirical Finance. [Cited by 32] (3.40/year)
KIM, C.J., J.C. MORLEY and C.R. NELSON, 2001. Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?. Journal of Empirical Finance. [Cited by 10] (1.56/year)
KIM, M.J., C.R. NELSON and R. STARTZ, 1991. Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence. The Review of Economic Studies. [Cited by 182] (11.09/year)
KIM, M.J., C.R. NELSON and R. STARTZ, 1991. Mean reversion in stock prices. A reappraisal of the. [Cited by 10] (0.61/year)
LEE, H.Y. and J.L. WU, 2001. Mean reversion of inflation rates: Evidence from 13 OECD countries. Journal of Macroeconomics. [Cited by 12] (1.87/year)
LICHTENBERG, F.R., 1994. Testing the Convergence Hypothesis. The Review of Economics and Statistics. [Cited by 55] (4.10/year)
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LOTHIAN, J.R. and M.P. TAYLOR, 2000. Purchasing power parity over two centuries: strengthening the case for real exchange rate stability …. Journal of International Money and Finance. [Cited by 40] (5.40/year)
MALLIAROPULOS, D. and R. PRIESTLEY, 1999. Mean reversion in Southeast Asian stock markets. Journal of Empirical Finance. [Cited by 23] (2.74/year)
MASIH, A.M.M. and R. MASIH, 1998. A Fractional Cointegration Approach to Testing Mean Reversion Between Spot and Forward Exchange …. Journal of Business Finance & Accounting. [Cited by 11] (1.17/year)
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POTERBA, J. and L. SUMMERS, 1988. Mean Reversion in Stock Returns: Evidence and Implications. Journal of Financial Economics. [Cited by 157] (8.09/year)
POTERBA, J.M. and L.H. SUMMERS, 1989. Mean Reversion in Stock Prices: Evidence and Implications. [Cited by 704] (38.25/year)
RANDOLPH, W.L., 1991. Use of the mean reversion model in predicting stock market volatility. Journal of Portfolio Management. [Cited by 12] (0.73/year)
SARKAR, S., 2003. The effect of mean reversion on investment under uncertainty. Journal of Economic Dynamics and Control. [Cited by 20] (4.54/year)
SARNO, L. and M.P. TAYLOR, 1998. Real exchange rates under the recent float: unequivocal evidence of mean reversion. Economics Letters. [Cited by 73] (7.76/year)
SCHWARTZ, E.S. and M. MOON, 2000. Rational Pricing of Internet Companies. Financial Analysts Journal. [Cited by 149] (20.12/year)
SEO, B., 2003. Nonlinear mean reversion in the term structure of interest rates. Journal of Economic Dynamics and Control. [Cited by 14] (3.18/year)
SMITH, L.V., et al., 2004. More powerful panel data unit root tests with an application to mean reversion in real exchange …. Journal of Applied Econometrics. [Cited by 16] (4.70/year)
SOLLIS, R., S. LEYBOURNE and P. NEWBOLD, 2002. Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates. Journal of Money, Credit and Banking. [Cited by 9] (1.66/year)
STEIN, J., 1989. Overreactions in the Options Market. The Journal of Finance. [Cited by 115] (6.25/year)
SVENSSON, L.E.O., 1992. Assessing Target Zone Credibility: Mean Reversion and Devaluation Expectations in the ERM 1979-1992. NBER Working Paper. [Cited by 105] (6.82/year)
SVENSSON, L.E.O., 1991. Assessing Target Zone Credibility: Mean Reversion and Devaluation Expectations in the EMS. ideas.repec.org. [Cited by 11] (0.67/year)
TAYLOR, A.M., 2001. … the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the …. Econometrica. [Cited by 168] (26.23/year)
TAYLOR, M.P., 2006. Real exchange rates and Purchasing Power Parity: mean-reversion in economic thought. Applied Financial Economics. [Cited by 16] (11.38/year)
TAYLOR, M.P. and D.A. PEEL, 2000. Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals. Journal of International Money and Finance. [Cited by 161] (21.74/year)
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 189] (29.51/year)
TAYLOR, M.P., D.A. PEEL and L. SARNO, 2001. Nonlinear mean-reversion in exchange rates: Towards a solution to the purchasing power parity …. International Economic Review. [Cited by 10] (1.56/year)
VLAAR, P.J.G. and F.C. PALM, 1993. … Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and …. Journal of Business & Economic Statistics. [Cited by 87] (6.04/year)
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ZAROWIN, P., 1989. Does the Stock Market Overract to Corporate Earnings Information?. The Journal of Finance. [Cited by 63] (3.42/year)