Mean Reversion of Short-Horizon Stock Returns: Asymmetry Property

Author： Nam Kiseok   Kim Sei-Wan   Arize Augustine.  

Publisher： Springer Publishing Company

ISSN： 0924-865X

Source： Review of Quantitative Finance and Accounting, Vol.26, Iss.2, 2006-03, pp. : 137-163

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Is asymmetric mean-reverting pattern in stock returns systematic? Evidence from Pacific-basin markets in the short-horizon

By Nam K.   Pyun C.S.   Kim S.-W.  

Journal of International Financial Markets, Institutions & Money, Vol. 13, Iss. 5, 2003-12 ,pp. : 481-502

Elsevier

Access to resources Recommend Favorite

Mean reversion of Singapore property stock prices towards their fundamental values

By Sing Tien Foo   Liow Kim Hiang   Chan Wei-Jin  

Journal of Property Investment and Finance, Vol. 20, Iss. 4, 2002-07 ,pp. : 374-387

Emerald Group Publishing Ltd

Access to resources Recommend Favorite

Nonlinear mean reversion in oil and stock markets

By Jawadi Fredj   Bellalah Mondher  

Review of Accounting and Finance, Vol. 10, Iss. 3, 2011-08 ,pp. : 316-326

Emerald Group Publishing Ltd

Access to resources Recommend Favorite

The interaction and volatility asymmetry of unexpected returns in the greater China stock markets

By Yeh Y.-H.   Lee T.-S.  

Global Finance Journal, Vol. 11, Iss. 1, 2000-12 ,pp. : 129-149

Elsevier

Access to resources Recommend Favorite

Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence

By Crouhy M.   Rockinger M.  

Financial Engineering and the Japanese Markets, Vol. 4, Iss. 1, 1997-01 ,pp. : 1-35

Springer Publishing Company

Access to resources Recommend Favorite