Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K

Narasimhan Jegadeesh

Journal of Finance, 1991, vol. 46, issue 4, 1427-44

Abstract: The evidence of slowly mean-reverting components in stock prices has been controversial. The hypothesis of stock price mean-reversion is tested using a regression model that yields the highest asymptotic power among a class of regression tests. Although the evidence that the equally weighted index of stocks exhibits mean-reversion is significant in the period 1926-88, this phenomenon is entirely concentrated in January. In the postwar period, both the equally weighted and the value-weighted indices exhibit seasonal mean-reversion in January. A similar phenomenon is also observed for the equally weighted index of stocks traded on the London Stock Exchange. Copyright 1991 by American Finance Association.

Date: 1991
References: Add references at CitEc
Citations: View citations in EconPapers (62)

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819910 ... O%3B2-K&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:46:y:1991:i:4:p:1427-44

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().