View : 35 Download: 0

Mean reversion of short-horizon stock returns: Asymmetry property

Title
Mean reversion of short-horizon stock returns: Asymmetry property
Authors
Nam K.Kim S.-W.Arize A.C.
Ewha Authors
김세완
SCOPUS Author ID
김세완scopus
Issue Date
2006
Journal Title
Review of Quantitative Finance and Accounting
ISSN
0924-865XJCR Link
Citation
vol. 26, no. 2, pp. 137 - 163
Indexed
SCOPUS scopus
Abstract
In this paper, we explore nonlinearity inherent in short-horizon return dynamics, which is characterized by an asymmetric mean-reverting property. Over the period of 1962:07-2003:12, both daily and weekly returns of three market indexes and individual stock returns exhibit a strong asymmetric reverting pattern in which a negative return reverts more quickly, with a greater reverting magnitude, than positive returns revert to negative returns. The observed asymmetric reverting pattern is not justified under the positive relationship between future volatility and risk premium, which is a key presumption in the time-varying rational expectation hypothesis. The asymmetric reverting behavior of stock returns explored by this paper corroborates the argument for the relative performance of "winner" and "loser" stocks that has been documented by contrarian literature. © 2006 Springer Science + Business Media, Inc.
DOI
10.1007/s11156-006-7213-0
Appears in Collections:
사회과학대학 > 경제학전공 > Journal papers
Files in This Item:
There are no files associated with this item.
Export
RIS (EndNote)
XLS (Excel)
XML


qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

BROWSE