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作者：Balvers, R; Wu, YR; Gilliland, E
作者单位：West Virginia University; Rutgers University System; Rutgers University New Brunswick
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 specificatio...
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作者：Chordia, T; Swaminathan, B
作者单位：Vanderbilt University; Cornell University
摘要：This paper finds that trading volume is a significant determinant of the lead-lag patterns observed in stock returns. Daily and weekly returns on high volume port folios lead returns on low volume portfolios, controlling for firm size. Nonsynchronous trading or low volume portfolio autocorrelations cannot explain these findings. These patterns arise because returns on low volume portfolios respond more slowly to information in market returns. The speed of adjustment of individual stocks confir...
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作者：Cvitanic, J
作者单位：University of Southern California
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作者：Kaul, A; Mehrotra, V; Morck, R
作者单位：University of Alberta
摘要：Weights in the Toronto Stock Exchange 300 index are determined by the market values of the included stocks' public floats. In November 1996, the exchange implemented a previously announced revision of its definition of the public float. This revision, which increased the floats and the index weights of 31 stocks, conveyed no information and had no effect on the legal duties of shareholders. Affected stocks experienced statistically significant excess returns of 2.3 percent during the event wee...
