Journal of Finance Vol. 46 No. 4 1991
Seasonality in Stock Price Mean Reversion: Evidence From the u.s. And the u.k.
Abstract
The evidence of slowly mean-reverting components in stock prices has been controversial. The hypothesis of stock price mean-reversion is tested using a regression model that yields the highest asymptotic power among a class of regression tests. Although the evidence that the equally weighted index of stocks exhibits mean-reversion is significant in the period 1926-88, this phenomenon is entirely concentrated in January. In the postwar period, both the equally weighted and the value-weighted indices exhibit seasonal mean-reversion in January. A similar phenomenon is also observed for the equally weighted index of stocks traded on the London Stock Exchange.
- Volume
- 46
- Issue
- 4
- Pages
- 1427-44
- Sources
- bibtex:phds-export.bib