Mean Reversion in Equilibrium Asset Prices
通过蒙特卡洛模拟证明，股票收益的长期负序列相关与均衡资产定价模型一致，且实际数据中的均值回归程度很可能由该模型生成。
Recent empirical studies have found that stock returns contain substantial negative serial correlation at long horizons. We examine this finding with a series of Monte Carlo simulations in order to demonstrate that it is consistent with an equilibrium model of asset pricing. When investors display only a moderate degree of risk aversion, commonly used measures of mean reversion in stock prices calculated from actual returns data nearly always lie within a 60 percent confidence interval of the median of the Monte Carlo distributions. From this evidence, we conclude that the degree of serial correlation in the data could plausibly have been generated by our model.