PICKING WINNERS? A SURVEY OF THE MEAN REVERSION AND OVERREACTION OF STOCK PRICES LITERATURE
综述了两类关于股票市场异象的文献：一是基于过去收益或盈利的逆向交易策略能否获利，二是股价时间序列中是否存在低频负自相关（均值回归），并探讨两者间的联系及联合假设检验问题。
Abstract. This paper surveys, and suggests a possible synthesis of, two growing literatures concerning stock market anomalies. The first concentrates on identifying contrarian trading rules, capable of generating profits, when securities are segregated on the basis of past earnings, or share price performance. The other simply examines the time‐series properties of security prices to find evidence of low‐frequency negative autocorrelation, or ‘meanreversion’. We seek to articulate the points of interdependence between the two strands of research and the problems of joint hypothesis testing implied by the close relation between ‘Overreaction’and ‘mean‐reversion’tests.