Do Investors Expect Mean Reversion in Asset Prices?
研究1981年至1995年英国非金融和金融资产价格中均衡均值回归的存在性和来源，发现商品和金属市场存在显著的预期暂时成分，而金融资产仅在临近到期时出现预期均值回归。
We investigate the existence and source of equilibrium mean reversion in UK non‐financial and financial asset prices over the period 6 April, 1981, through 31 October, 1995. Our results indicate substantial expected transitory components in commodity and metals markets but report expected mean reversion for financial assets only at the near to maturity horizons. Implied cash flow yields appear to have a role in driving the mean reverting process particularly at short horizons while the role of interest rate movements varied across assets and across maturities. Our results reject the existence of a common risk premium across market term structures.