Mean Reversion in Short-Horizon Expected Returns

• 成果类型: Article
• 署名作者: Conrad, Jennifer; Kaul, Gautam
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; University of Michigan System; University of Michigan
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/2.2.225
• 发表日期: 1989
• 页码: 225
• 关键词: STOCK RETURNS; inflation; prices

摘要

This article develops and estimates a simple model for monthly expected stock returns that relies on the rapidly decaying structure of shorter-horizon (weekly) expected returns. The most striking aspect of our findings is that the rapid mean reversion in short-horizon expected returns implies much greater variation through time in monthly expected returns than has been documented in earlier studies. For instance, during the 1962 to 1985 period, over 25 percent of the return variance of small firms can be explained by time variation in expected returns.