Table of contents
Mean Reversion in Stock Prices: Tests Using Duration Models
Steven J. Cochran, Robert H. DeFinaThis study uses parametric hazard models to investigate duration dependence in US stock market cycles over the January 1929 through December 1992 period. Market cycles are…
Mean Reversion in Stock Prices: An Error‐Correction Approach
Steven J. Cochran, Robert H. DeFinaSeveral recent studies have indicated the existence of a predictable component in stock prices. This study examines the sources of this serial correlation using error‐correction…
Macroeconomic Risk and the Determination of Expected Returns on Stocks
Keith SillThis paper empirically investigates the link between expected returns on stocks and a set of variables that describe the general state of economic activity. The model relates the…
Sensitivity of Bank Equity Returns to the Level and Volatility of Interest Rates
Iqbal Mansur, Elyas ElyasianiThis study attempts to determine whether the level and volatility of interest rates affect the equity returns of commercial banks. Short‐term, intermediate‐term, and long‐term…
R/S Analysis and Long Term Dependence in Stock Market Indices
David NawrockiRecent studies indicating long term dependence in stock market indices have found a mean reversion process. However, studies using rescaled range (R/S) analysis have not found…
ISSN:
0307-4358Online date, start – end:
1975Copyright Holder:
Emerald Publishing LimitedOpen Access:
hybridEditor:
- Professor Don Johnson