Table of contents
Mean reversion of size‐sorted portfolios and parametric contrarian strategies
Jeffrey GroppEvidence of mean reversion in U.S. stock prices during the post‐World War II era is mixed. I find that using the standard portfolio formation method to construct size‐sorted…
Mean reversion in stock prices: evidence from emerging markets
Kausik Chaudhuri, Yangru WuThis paper investigates whether stock‐price indexes of emerging markets can be characterized as random walk (unit root) or mean reversion processes. We implement a panelbased test…
Intangible assets and stock trading strategies
Duo ZhangHall (2001a) argues that the value of intangible assets can be inferred from firms’ stock market value and the value of tangible assets, which suggests rational valuation in the…
The value premium: rational, irrational or random
Angela J. Black, Patricia FraserUsing data from the stock markets of Japan, the UK and the US, this paper examines thetime series properties of a price index derived from a zero net investment strategy of…
Excess volatility? the Australian stock market from 1883 to 1999
Richard HeaneyAre share markets too volatile? While it is difficult to ignore share market volatility it is important to determine whether volatility is excessive. This paper replicates the…
ISSN:
0307-4358e-ISSN:
1758-7743ISSN-L:
0307-4358Online date, start – end:
1975Copyright Holder:
Emerald Publishing LimitedOpen Access:
hybridEditor:
- Professor Don Johnson