股票价格的均值回归:对长期投资者的影响

L. Spierdijk, J. Bikker
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引用次数: 20

摘要

本文讨论股票价格均值回归对长期投资者(如养老基金)的影响。我们从均值回归价格过程的一般定义开始,并解释股票价格的均值回归与股票收益的均值回归之间的关系。随后,我们表明均值回归使股票对长线投资者的风险降低。接下来,我们考虑一个均值方差有效投资者,并展示股票价格的均值回归如何影响这种投资者的最优投资组合权重。最后,我们讨论了我们的研究结果对长期投资者投资决策的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Mean Reversion in Stock Prices: Implications for Long-Term Investors
This paper discusses the implications of mean reversion in stock prices for longterm investors such as pension funds. We start with a general definition of a meanreverting price process and explain how mean reversion in stock prices is related to mean reversion in stock returns. Subsequently, we show that mean reversion makes stocks less risky for investors with long investment horizons. Next, we consider a mean-variance efficient investor and show how mean reversion in stock prices affects such an investor’s optimal portfolio weights. Finally, we discuss the implications of our findings for the investment decisions of long-term investors.
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