Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K.
检验了股票价格均值回归的假设，发现1926-1988年间美国等权指数存在均值回归，但完全集中在1月；战后时期等权和价值加权指数在1月均呈现季节性均值回归，伦敦证交所等权指数也有类似现象。
ABSTRACT The evidence of slowly mean‐reverting components in stock prices has been controversial. The hypothesis of stock price mean‐reversion is tested using a regression model that yields the highest asymptotic power among a class of regression tests. Although the evidence that the equally weighted index of stocks exhibits mean‐reversion is significant in the period 1926–1988, this phenomenon is entirely concentrated in January. In the post‐war period both the equally weighted and the value‐weighted indices exhibit seasonal mean‐reversion in January. A similar phenomenon is also observed for the equally weighted index of stocks traded on the London Stock Exchange.