Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks

Empirical Economics

Volumn 40, Issue 2, 2011, Pages 373-391

  Clark, Steven P ^a   Coggin, T Daniel ^b  

^a UNIVERSITY OF NORTH CAROLINA AT CHARLOTTE   (United States)

^b Horizon Investments LLC   (United States)

Author keywords

Fractional integration; Long horizon stock returns; Mean reversion; Overlapping data; Structural breaks; Temporal aggregation

Indexed keywords

AUTOCORRELATION; ECONOMETRICS; PRICE DYNAMICS; STOCK MARKET;

UNITED STATES;

EID: 79952747553     PISSN: 03777332     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00181-010-0338-y     Document Type: Article

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