Mean reversion across national stock markets and parametric contrarian investment strategies

• 成果类型: Article
• 署名作者: Balvers, R; Wu, YR; Gilliland, E
• 署名单位: West Virginia University; Rutgers University System; Rutgers University New Brunswick
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00225
• 发表日期: 2000
• 页码: 745-772
• 关键词: autoregressive time-series; Purchasing power parity; unit-root tests; MOMENTUM STRATEGIES; returns; prices; overreaction; predictability; NONSTATIONARY; performance

摘要

For U.S. stock prices, evidence of mean reversion over long horizons is mixed, possibly due to lack of a reliable long time series. Using additional cross-sectional power gained from national stock index data of 18 countries during the period 1969 to 1996, we find strong evidence of mean reversion in relative stock index prices. Our findings imply a significantly positive speed of reversion with a half-life of three to three and one-half years. This result is robust to alternative specifications and data. Parametric contrarian investment strategies that fully exploit mean reversion across national indexes outperform buy-and-hold and standard contrarian strategies.