MEAN REVERSION IN EQUILIBRIUM ASSET PRICES - EVIDENCE FROM THE FUTURES TERM STRUCTURE

• 成果类型: Note
• 署名作者: BESSEMBINDER, H; COUGHENOUR, JF; SEGUIN, PJ; SMOLLER, MM
• 署名单位: University of Massachusetts System; University of Massachusetts Boston; University of Michigan System; University of Michigan; Wayne State University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329250
• 发表日期: 1995
• 页码: 361-375
• 关键词: commodity

摘要

We use the term structure of futures prices to test whether investors anticipate mean reversion in spot asset prices. The empirical results indicate mean reversion in each market we examine. For agricultural commodities and crude oil the magnitude of the estimated mean reversion is large; for example, point estimates indicate that 44 percent of a typical spot oil price shock is expected to be reversed over the subsequent eight months. For metals, the degree of mean reversion is substantially less, but still statistically significant. We detect only weak evidence of mean reversion in financial asset prices.