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Mean Reversion on Global Stock Markets
| Content Provider | Semantic Scholar |
|---|---|
| Author | Drobetz, Wolfgang Wegmann, Patrick |
| Copyright Year | 2002 |
| Abstract | 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. |
| Starting Page | 215 |
| Ending Page | 239 |
| Page Count | 25 |
| File Format | PDF HTM / HTML |
| Volume Number | 138 |
| Alternate Webpage(s) | http://www.sjes.ch/papers/2002-III-1.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
