Mean Reversion in Stock Prices: Implications from a Production Based Asset Pricing Model

DOI10.2307/3440666MaRDI QIDQ4213057zbMATH OpenOpenAlexFDO

Authors Parantap Basu, H. D. Vinod

Publication date 7 October 1998

Published in Scandinavian Journal of Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3440666

zbMATH Keywords

production-based asset pricing modelreturns to scale

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic time series analysis (91B84)

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(7)

• MEAN REVERSION IN THE SPANISH STOCK MARKET PRICES USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES
• ARE UK SHARE PRICES TOO HIGH? FUNDAMENTAL VALUE OR NEW ERA
• Volatility and stock prices: Implications from a production model of asset pricing
• A new definition for time-dependent price mean reversion in commodity markets
• A looser cointegration concept using fractional integration parameters and quantification of market responsiveness
• Portfolio selection with contrarian strategy
• Mean reversion in G-7 stock prices: Further evidence from a panel stationary test with multiple structural breaks

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