Permanent and Temporary Components of Stock Prices
发现股票价格中存在缓慢均值回归成分，导致长期回报出现负自相关，并估计均值回归可解释小公司投资组合3至5年回报方差的约40%，大公司约25%。
A slowly mean-reverting component of stock prices tends to induce negative autocorrelation in returns. The autocorrelation is weak for the daily and weekly holding periods common in market efficiency tests but stronger for long-horizon returns. In tests for the 1926-85 period, large negative autocorrelations for return horizons beyond a year suggest that predictable price variation due to mean reversion accounts for large fractions of 3 to 5-year return variances. Predictable variation is estimated to be about 40 percent of 3 to 5-year return variances for portfolios of small firms. The percentage falls to around 25 percent for portfolios of large firms. Copyright 1988 by University of Chicago Press.