Persistence and mean reversion in UK stock returns
利用1965年1月至1994年6月英国金融时报全股指数和330只个股的数据，通过多重方差比检验随机游走假设，发现英国股市不存在均值回归，持续性仅存在于高频数据且近年减弱，且与投资组合和公司规模相关。
Abstract This paper re‐examines the issue of persistence and mean reversion in UK stock returns in the light of new developments published in Chow and Denning (1993) the random walk hypothesis is tested using multiple variance ratios for returns on the Financial Times All Share Index and 330 individual stocks for the period January 1965 to June 1994. There is no evidence of reversion in the UK stock market. Persistence only exists in high frequency data and is less strong in more recent times. Moreover, it is a portfolio phenomenon and is related to firm size. There is a possibility that persistence/reversion is also industry‐related.