Managerial Finance Issue on Mean Reversion

 

The issue of Managerial Finance on the topic of mean reversion in financial markets.

 

Mp4

 

Managerial Finance description obtained from Ebsco Host 

 


 

MEAN REVERSION IN FINANCIAL MARKETS
 
 

Note:  PDF files are proofs.  Please do not cite without permission.

Foreword
by Ronald J. Balvers 1

Mean Reversion of Size-Sorted Portfolios and Parametric Contrarian Strategies
by Jeffrey Gropp 5

Mean Reversion in Stock Prices: Evidence from Emerging Markets
by Kausik Chaudhuri and Yangru Wu 22

Intangible Assets and Stock Trading Strategies
by Duo Zhang 38

The Value Premium: Rational, Irrational or Random
by Angela J. Black and Patricia Fraser 57

Excess Volatility? The Australian Stock Market from 1883 to 1999
by Richard Heaney 76
 


Publication date:  October 2003, volume 29(10).


The journal Managerial Finance is issued by MCB University Press. A Full text version of all issues of Managerial Finance since 1998 is available for downloading in pdf format.


 

 
 
 
 
 
 
 
 
 
 
 

Last revised:  May 2003.