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1、NBERWORKINGPAPERSERIESMEANREVERSIONINSTOCKPRICES:EVIDENCEANDIMPLICATIONSJamesM.PoterbaLawrenceH.SummersWorkingPaperNo.2343NATIONALBUREAUOFECONOMICRESEARCH1050MassachusettsAvenueCambridge,MA02138August1987WearegratefultoBarryPerlstein,ChangyongRhee,JeffZweibelandespeciallyDavidCutlerforexcellentresea
2、rchassistance,toBenBernanke,JohnCampbell,RobertEngle,EugeneFama,PeteKyle,GregMankiw,JulioRotemberg,WilliamSchwert,KennethSingleton,andMarkWatsonforhelpfulcomments,andtoJamesDarcel,MatthewShapiro,andIanTonksfordataassistance.ThisresearchwassupportedbytheNationalScienceFoundationandwasconductedwhileth
3、efirstauthorwasaBatterymarchFellow.TheresearchreportedhereispartoftheNBER'sresearchprograminFinancialMarketsandMonetaryEconomics'.AnyopinionsexpressedarethoseoftheauthorsandnotthoseoftheNationalBureauofEconomicResearch.MnDUFEnEnnuMH+LnuFE'··•iknHJ-1·nonnuJnraunvaEWVEa品L句qdA•qd川UAHPb哼FMeanReversionin
4、StockPrices:EvidenceandImplicationsABSTRACTThispaperanalyzesthestatisticalevidencebear‘ingonwhether‘transitorycomponentsaccountforalar‘gefractionofthevarianceincommonstockreturns.Thefirstparttreatsmethodologicalissuesinvolvedintestingfortransitoryreturncomponents.Itdemonstratesthatvarianceratiosarea
5、mongthemostpowerfultestsfordetectingmeanreversioninstockprices,butthattheyhave1ittlepoweragainsttheprincipalinterestingalternativestotherandomwalkhypothesis.ThesecondpartappliesvarianceratioteststomarketreturnsfortheUnitedStatesoverthe1871-1986periodandforseventeenothercountriesoverthe1957-1985perio
6、d,as树ellastoreturnsonindividua1firmsoverthe1926-1985period.Wefindconsistentevidencethatstockreturnsarepositive1yserial1ycorrelatedover‘shorthorizons,andnegativelyautocorrelatedover10nghorizons.Thepointestimatessuggestthatthetransitorycomponentsinstockpriceshaveastandarddeviationofbetween15and25perce
7、ntandaccountformorethanhalfofthevarianceinmonthlyreturns.Thelastpartofthepaperdiscussestwopossibleexplanationsformeanrever‘sion:timevaryingrequiredreturns,andslowly-decaying"pricefads"thatcausestockpr
