{"title":"股票价格的暂时变动","authors":"J. Lewellen","doi":"10.2139/ssrn.307339","DOIUrl":null,"url":null,"abstract":"Mean reversion in stock prices is stronger than commonly believed. I show that 1-, 3-, and 5-year returns are negatively related to future returns over the subsequent 12 to 18 months. Reversals in 1- year returns are the most reliable, with strong significance in both the full 1926 - 1998 sample and the more recent 1946 - 1998 period. The reversals are also economically significant. The full-sample evidence suggests that 25% to 45% of annual returns are temporary, reversing within 18 months. The percentage drops to between 20% and 30% after 1945. Mean reversion appears strongest in larger stocks and can take several months to show up in prices.","PeriodicalId":227511,"journal":{"name":"Texas Finance Festival 2002 (Archive)","volume":"149 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2001-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"19","resultStr":"{\"title\":\"Temporary Movements in Stock Prices\",\"authors\":\"J. Lewellen\",\"doi\":\"10.2139/ssrn.307339\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Mean reversion in stock prices is stronger than commonly believed. I show that 1-, 3-, and 5-year returns are negatively related to future returns over the subsequent 12 to 18 months. Reversals in 1- year returns are the most reliable, with strong significance in both the full 1926 - 1998 sample and the more recent 1946 - 1998 period. The reversals are also economically significant. The full-sample evidence suggests that 25% to 45% of annual returns are temporary, reversing within 18 months. The percentage drops to between 20% and 30% after 1945. Mean reversion appears strongest in larger stocks and can take several months to show up in prices.\",\"PeriodicalId\":227511,\"journal\":{\"name\":\"Texas Finance Festival 2002 (Archive)\",\"volume\":\"149 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2001-03-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"19\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Texas Finance Festival 2002 (Archive)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.307339\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Texas Finance Festival 2002 (Archive)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.307339","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Mean reversion in stock prices is stronger than commonly believed. I show that 1-, 3-, and 5-year returns are negatively related to future returns over the subsequent 12 to 18 months. Reversals in 1- year returns are the most reliable, with strong significance in both the full 1926 - 1998 sample and the more recent 1946 - 1998 period. The reversals are also economically significant. The full-sample evidence suggests that 25% to 45% of annual returns are temporary, reversing within 18 months. The percentage drops to between 20% and 30% after 1945. Mean reversion appears strongest in larger stocks and can take several months to show up in prices.
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