Mean Reversion in Short-Horizon Expected Returns
Mean Reversion in Short-Horizon Expected Returns
复制标题
短期预期回报的均值回归
DOI：
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发表时间：
1989
期刊：
影响因子：
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通讯作者：
Gautam Kaul
中科院分区：
文献类型：
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作者：
Jennifer S. Conrad;Gautam Kaul
本文开发并估计了一个简单的每月预期股票收益模型，该模型依赖于短期（每周）预期收益的快速衰减结构。我们的研究结果中最引人注目的方面是，短期预期回报的快速均值回归意味着月度预期回报随时间的变化比早期研究中记录的要大得多。例如，在 1962 年至 1985 年间，小企业超过 25% 的回报方差可以用预期回报的时间变化来解释。牛津大学出版社代表金融研究学会在其期刊《金融研究评论》上发表的文章。
This article develops and estimates a simple model for monthly expected stock returns that relies on the rapidly decaying structure of shorter-horizon (weekly) expected returns. The most striking aspect of our findings is that the rapid mean reversion in short-horizon expected returns implies much greater variation through time in monthly expected returns than has been documented in earlier studies. For instance, during the 1962 to 1985 period, over 25 percent of the return variance of small firms can be explained by time variation in expected returns. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.