The persistence of abnormal returns
研究了投资回报率的时间序列行为，发现其均值回归特性支持异常收益来自非均衡现象，并分析了战略和市场因素如何影响收益持续性。
Abstract The time‐series behavior of ROI is examined to assess a central element of competitive markets, the lack of persistence of abnormal profits. The analysis first determines the aggregate dynamic process of ROI and then examines how strategic and market factors influence this process. Consistent with abnormal returns resulting from a disequilibrium phenomenon, a mean reverting time‐series process approximates the behavior of ROI. While a variety of factors influence the persistence of return, the conditions under which market forces do not drive return back to its competitive rate seem remote, if present at all. Nonetheless, these factors can insulate a firm from competitive forces and so result in longer‐term abnormal profits.