Random walk or mean reversion

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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


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