Random walk or mean reversion

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dc.contributor.author	Risager, Ole	en_US
dc.date.accessioned	2009-02-04T10:27:52Z
dc.date.available	2009-02-04T10:27:52Z
dc.date.issued	1998-10-21T00:00:00Z	en_US
dc.identifier.uri	http://hdl.handle.net/10398/7617
dc.description.abstract	Abstract: This paper contributes to the growing literature on mean reversion in stock markets by examining a newly constructed Danish data set for the period 1922-95. Variance ratio tests clearly reject the random walk hypothesis at the 2-year horizon, that is, the riskiness of a 2- year investment is significantly less than twice the risk of a 1-year investment. Variance ratio tests for 3- and 4-year horizons are not significant under conventional significance levels, whereas autocorrelation tests of the joint hypothesis that there is departure from random walk at all horizons tend to reject the random walk hypothesis and support the mean reversion hypothesis.	en_US
dc.format.extent	13 s.	en_US
dc.language	eng	en_US
dc.relation.ispartofseries	Working paper;1998-7	en_US
dc.relation.ispartofseries	EPRU working paper series;1998-12	en_US
dc.subject.other	aktiemarked	en_US
dc.subject.other	aktieindeks	en_US
dc.subject.other	danmark	en_US
dc.title	Random walk or mean reversion	en_US
dc.type	wp	en_US
dc.accessionstatus	AAmodt98okt09 KAT98okt21 flema	en_US
dc.contributor.corporation	Copenhagen Business School. CBS	en_US
dc.contributor.department	Økonomisk Institut
dc.contributor.departmentshort	ECON	en_US
dc.contributor.departmentuk	Department of Economics
dc.contributor.departmentukshort	ECON
dc.idnumber	x645057125	en_US
dc.publisher.city	København	en_US
dc.publisher.year	1998	en_US
dc.title.subtitle	the Danish stock market since World War 1	en_US