Mean Reversion on Global Stock Markets

Drobetz, Wolfgang and Wegmann, Patrick. (2002) Mean Reversion on Global Stock Markets. Swiss Journal of Economics and Statistics, 138 (3). pp. 215-239.

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Official URL: http://edoc.unibas.ch/57702/

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This paper focuses on mean reversion on international stock markets and explores whether this empirical observation is compatible with a rational, general equilibrium asset pricing model. We consider a simple time series model with switching regimes for the consumption process in the G-7 countries and compare the simulated returns with historical stock market data. Our results show that for most countries the empirical mean reversion produces no challenge for an equilibrium model. Short-run momentum, however, cannot be explained within the same simple framework.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Finanzmarkttheorie (Zimmermann)
UniBasel Contributors:Wegmann, Patrick
Item Type:Article, refereed
Article Subtype:Research Article
Publisher:Swiss Society of Economics and Statistics (SSES)
Note:Publication type according to Uni Basel Research Database: Journal article
Last Modified:15 Jun 2018 07:09
Deposited On:15 Jun 2018 07:09

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