Mean reversion in the United Kingdom stock market and its implications for a profitable trading strategy
Article Abstract:
The UK's stock market total returns over the period 1919 through 1990 are examined. The study explores the implications of the previously observed mean reversion in British stocks for an investment strategy relying on information contained in earlier period returns. Findings suggest that statistically significant mean reversion only occurred during the pre-war subperiod. Richardson and Stock's (1989) alternative asymptotic distribution theory indicates that such mean reversion may be reflective of the weak finite sample approximation of the traditional fixed overlap asymptotic distribution theory.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 1996
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The distribution of reversals and continuations and tests for intraday market efficiency
Article Abstract:
Reversal and continuation price change distribution techniques have been used extensively to evaluate security price reaction to information change. The techniques assumed similar distribution characteristics for all firms and the absence of intraday variation. These assumptions are proven wrong as security and firm variables are vital in explaining cross-sectional variation in reversal distribution.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 1995
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Efficient Markets Hypothesis and the emerging capital market in Sri Lanka: evidence from the Colombo Stock Exchange - a note
Article Abstract:
Stocks traded in the Colombo Stock Exchange do not behave in a manner in line with the weak-form of the Efficient Markets Hypothesis. This research is consistent with the view that the emerging stock markets are not as informationally efficient as those in developed countries.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 2001
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