Mean Reversion in the United Kingdom Stock Market and its Implications for a Profitable Trading Strategy
研究1919至1990年英国股市总回报的均值回归现象，发现仅战前子时期存在显著均值回归，但逆向投资策略并未优于简单买入持有策略，且战前均值回归可能源于传统渐近分布理论的有限样本偏差。
Following Fama and French (1988), we examine the mean reverting behavior of the United Kingdom stock market total returns over the period 1919 through 1990. Evidence of statistically significant mean reversion is only found during the pre‐war subperiod. A contrarian investment strategy, however, does not enhance performance over a naive buy and hold investment strategy. Further, an application of Richardson and Stock's (1989) alternative asymptotic distribution theory suggests that the mean reversion detected during the pre‐war period may reflect the poor finite sample approximation of traditional fixed overlap asymptotic distribution theory.