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Mean Reversion
Top 10 Papers
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)
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)
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)
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)
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)
POTERBA, J. and L. SUMMERS, 1988. Mean Reversion in Stock Returns: Evidence and Implications. Journal of Financial Economics. [Cited by 200 ] (9.79/year)
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)
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)
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)
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)
Bibliography
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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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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)
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CHEUNG, Y.W. and K.S. LAI, 1994. Mean reversion in real exchange rates . Economics Letters. [Cited by 49 ] (3.40/year)
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CHEUNG, Y.W. and K.S. LAI, 1993. Long-run purchasing power parity during the recent float . Journal of International Economics. [Cited by 203 ] (13.17/year)
CHORTAREAS, G.E., G. KAPETANIOS and Y. SHIN, 2002. Nonlinear mean reversion in real exchange rates . Economics Letters. [Cited by 29 ] (4.52/year)
COAKLEY, J. and A.M. FUERTES, 1997. New panel unit root tests of PPP . Economics Letters. [Cited by 78 ] (6.83/year)
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CONRAD, J. and G. KAUL, 1989. Mean reversion in short-horizon expected returns . Review of Financial Studies. [Cited by 86 ] (4.43/year)
DANIEL, K., 2001. The power and size of mean reversion tests . Journal of Empirical Finance. [Cited by 16 ] (2.16/year)
DEBONDT, W.F.M. and R.H. THALER, 1989. Anomalies: A Mean-Reverting Walk Down Wall Street. Journal of Economic Perspectives. [Cited by 40 ] (2.06/year)
DECHOW, P.M., A.P. HUTTON and R.G. SLOAN, 1999. An empirical assessment of the residual income valuation model . Journal of Accounting and Economics. [Cited by 308 ] (32.70/year)
DENG, S., 2000. Stochastic Models of Energy Commodity Prices and Their Applications: Mean-reversion with Jumps and … . [Cited by 158 ] (18.77/year)
DIAS, D. and C.R. MARQUES, Using Mean Reversion as a Measure of Persistence . papers.ssrn.com. [Cited by 18 ] (?/year)
DIAS, M.A.G. and K.M.C. ROCHA, 1999. … with Extendible Options: Investment Timing and Value Using Mean Reversion and Jump Processes for … . [Cited by 26 ] (2.76/year)
DIEBOLD, F.X., S. HUSTED and M. RUSH, 1991. Real Exchange Rates under the Gold Standard . Journal of Political Economy. [Cited by 261 ] (14.98/year)
ENGLE, R.F. and A.J. PATTON, 2001. What good is a volatility model? . Quantitative Finance. [Cited by 189 ] (25.47/year)
FAMA, E.F. and K.R. FRENCH, 1988. Permanent and Temporary Components of Stock Prices . The Journal of Political Economy. [Cited by 1040 ] (50.93/year)
FAMA, E.F. and K.R. FRENCH, 2000. Forecasting Profitability and Earnings* . The Journal of Business. [Cited by 197 ] (23.40/year)
FAMA, E.F. and R.R. BLISS, 1987. The Information in Long-Maturity Forward Rates . American Economic Review. [Cited by 490 ] (22.88/year)
FISHER, L., 1966. Some New Stock-Market Indexes . Journal of Business. [Cited by 237 ] (5.59/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 424 ] (34.14/year)
GARCIA, R. and C.E.N.T.R.E. DE, 1995. Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models . ideas.repec.org. [Cited by 298 ] (22.21/year)
GIBSON, R. and E.S. SCHWARTZ, 1990. Stochastic convenience yield and the pricing of oil contingent claims . Journal of Finance. [Cited by 309 ] (16.78/year)
GIL-ALANA, L.A., 2000. Mean reversion in the real exchange rates . Economics Letters. [Cited by 72 ] (8.55/year)
HASKEL, J. and H. WOLF, 2001. The Law of One Price-A Case Study . Scandinavian Journal of Economics. [Cited by 116 ] (15.63/year)
HAUSMAN, J.A., 1979. Individual Discount Rates and the Purchase and Utilization of Energy-Using Durables . Bell Journal of Economics. [Cited by 354 ] (12.03/year)
HENRY, �.T. and N. OLEKALNS, 2002. Does the Australian dollar real exchange rate display mean reversion . Journal of International Money and Finance. [Cited by 25 ] (3.89/year)
HESTON, S.L., 1993. A closed-form solution for options with stochastic volatility with applications to bond and currency … . Review of Financial Studies. [Cited by 1857 ] (120.43/year)
HODGES, S. and A. CARVERHILL, 1993. Quasi Mean Reversion in an Efficient Stock Market: The Characterisation of Economic Equilibria which … . ECONOMIC JOURNAL-LONDON-. [Cited by 20 ] (1.30/year)
HUISMAN, R. and R. MAHIEU, 2003. Regime jumps in electricity prices . Energy Economics. [Cited by 99 ] (18.27/year)
HWANG, M. and J.M. QUIGLEY, 2004. Selectivity, Quality Adjustment and Mean Reversion in the Measurement of House Values* . The Journal of Real Estate Finance and Economics. [Cited by 17 ] (3.85/year)
IANNIZZOTTO, M. and M.P. TAYLOR, 1999. The Target Zone Model, Non-Linearity and Mean Reversion: is the Honeymoon Really Over? . The Economic Journal. [Cited by 21 ] (2.23/year)
IRWIN, S.H., C.R. ZULAUF and T.E. JACKSON, 1996. Monte Carlo Analysis of Mean Reversion in Commodity Futures Prices . AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS. [Cited by 27 ] (2.17/year)
JEGADEESH, N., 1991. Seasonality in Stock Price Mean Reversion: Evidence from the US and the UK . Journal of Finance. [Cited by 80 ] (4.59/year)
JOG, V. and H. SCHALLER, 1994. Finance Constraints and Asset Pricing: Evidence on Mean Reversion . Journal of Empirical Finance. [Cited by 14 ] (0.97/year)
JONES, C.S., 2003. Nonlinear Mean Reversion in the Short-Term Interest Rate . Review of Financial Studies. [Cited by 79 ] (14.58/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 127 ] (10.23/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 265 ] (48.90/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 40 ] (3.84/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 14 ] (1.89/year)
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)
KIM, Y., 1990. Purchasing Power Parity in the Long Run: A Cointegration Approach. . Journal of Money, Credit & Banking. [Cited by 173 ] (9.39/year)
KRUGMAN, P., 1978. Purchasing Power Parity and Exchange Rates: Another Look at the Evidence . Journal of International Economics. [Cited by 95 ] (3.12/year)
LAI, Y.W.C.K.S., 1993. ‘A Fractional Cointegration Analysis of Purchasing Power Parity . Journal of Business Economics and Statistics. [Cited by 278 ] (18.03/year)
LEE, H.Y. and J.L. WU, 2001. Mean reversion of inflation rates: Evidence from 13 OECD countries . Journal of Macroeconomics. [Cited by 17 ] (2.29/year)
LICHTENBERG, F.R., 1994. Testing the convergence hypothesis . Review of Economics and Statistics. [Cited by 76 ] (5.27/year)
LINDBERG, H. and P. SOEDERLIND, 1994. Intervention Policy and Mean Reversion in Exchange Rate Target Zones: The Swedish Case . SCANDINAVIAN JOURNAL OF ECONOMICS. [Cited by 35 ] (2.43/year)
LIPE, R. and R. KORMENDI, 1994. Mean reversion in annual earnings and its implications for security valuation . Review of Quantitative Finance and Accounting. [Cited by 19 ] (1.32/year)
LONGSTAFF, F.A. and E.S. SCHWARTZ, 1995. VALUING CREDIT DERIVATIVES . The Journal of Fixed Income. [Cited by 90 ] (6.71/year)
LOTHIAN, J.R. and M.P. TAYLOR, 1996. Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries . Journal of Political Economy. [Cited by 484 ] (38.97/year)
MACDONALD, R. and J. STEIN, 1998. � What do we really know about real exchange rates�. Equilibrium Exchange Rates. [Cited by 71 ] (6.81/year)
MADHAVAN, A. and S. SMIDT, 1993. An Analysis of Changes in Specialist Inventories and Quotations . JOURNAL OF FINANCE-NEW YORK-. [Cited by 208 ] (13.49/year)
MALLIAROPULOS, D. and R. PRIESTLEY, 1999. Mean reversion in Southeast Asian stock markets . Journal of Empirical Finance. [Cited by 33 ] (3.50/year)
MCQUEEN, G., 1992. Long-Horizon Mean-Reverting Stock Prices Revisited. Journal of Financial and Quantitative Analysis. [Cited by 77 ] (4.69/year)
METCALF, G.E. and K.A. HASSETT, 1995. Investment under alternative return assumptions Comparing random walks and mean reversion . Journal of Economic Dynamics and Control. [Cited by 70 ] (5.22/year)
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)
MOOSA, I.A. and R.H. BHATTI, 1996. SOME EVIDENCE ON MEAN REVERSION IN EX ANTE REAL INTEREST RATES . Scottish Journal of Political Economy. [Cited by 15 ] (1.21/year)
NAM, K., C.S. PYUN and A.C. ARIZE, 2002. Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach . Journal of Empirical Finance. [Cited by 19 ] (2.96/year)
O'CONNELL, P.G.J., 1998. The overvaluation of purchasing power parity . Journal of International Economics. [Cited by 484 ] (46.45/year)
O'CONNELL, P.G.J. and S.J. WEI, 1997. " The Bigger They Are, The Harder They Fall": How Price Differences Across US Cities Are Arbitraged . [Cited by 58 ] (5.08/year)
POTERBA, J. and L. SUMMERS, 1988. Mean Reversion in Stock Returns: Evidence and Implications. Journal of Financial Economics. [Cited by 200 ] (9.79/year)
POTERBA, J., L.H. SUMMERS and I.N.T.E.R.-.U.N.I.V.E.R.S.I.T.Y. CONSORTIUM, 1996. Mean Reversion in Stock Prices. Inter-university Consortium for Political and Social Research [ …. [Cited by 152 ] (12.24/year)
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)
RANDOLPH, W.L., 1991. USE OF THE MEAN REVERSION MODEL IN THE PREDICTING STOCK MARKET VOLATILITY . Journal of Portfolio Management. [Cited by 16 ] (0.92/year)
RICHARDSON, M., 1992. Temporary Components of Stock Prices: A Skeptic's View . ideas.repec.org. [Cited by 111 ] (6.76/year)
SARKAR, S., 2003. The effect of mean reversion on investment under uncertainty . Journal of Economic Dynamics and Control. [Cited by 25 ] (4.61/year)
SARNO, L. and M.P. TAYLOR, 1998. Real exchange rates under the recent float: unequivocal evidence of mean reversion . Economics Letters. [Cited by 92 ] (8.83/year)
SARNO, L. and M.P. TAYLOR, Purchasing Power Parity and the Real Exchange Rate . papers.ssrn.com. [Cited by 186 ] (?/year)
SCHWARTZ, E.S. and M. MOON, 2000. Rational Pricing of Internet Companies . Financial Analysts Journal. [Cited by 193 ] (22.92/year)
SEO, B., 2003. Nonlinear mean reversion in the term structure of interest rates . Journal of Economic Dynamics and Control. [Cited by 20 ] (3.69/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 25 ] (5.66/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 16 ] (2.49/year)
SVENSSON, L.E.O., 1993. Assessing target zone credibility Mean reversion and devaluation expectations in the ERM, 1979-1992 . European Economic Review. [Cited by 96 ] (6.23/year)
SVENSSON, L.E.O. and S.T.O.C.K.H.O.L.M.S. UNIVERSITET, 1991. Assessing Target Zone Credibility: Mean Reversion and Devaluation Expectations in the EMS . papers.ssrn.com. [Cited by 19 ] (1.09/year)
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)
TAYLOR, M.P., 2006. Real exchange rates and Purchasing Power Parity: mean-reversion in economic thought . Applied Financial Economics. [Cited by 55 ] (22.73/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 285 ] (38.41/year)
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)
WU, J.L., 2000. Mean reversion of the current account: evidence from the panel data unit-root test . Economics Letters. [Cited by 32 ] (3.80/year)
WU, J.L. and S.L. CHEN, 2001. Mean Reversion of Interest Rates in the Eurocurrency Market . Oxford Bulletin of Economics and Statistics. [Cited by 23 ] (3.10/year)
WU, Y. and H. ZHANG, 1996. Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries . JOURNAL OF MONEY CREDIT AND BANKING. [Cited by 46 ] (3.70/year)