Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K.
检验股票价格是否存在缓慢的均值回归成分，发现1926-1988年间等权指数存在均值回归，但完全集中在1月份；战后等权和价值加权指数均在1月表现出季节性均值回归，伦敦证交所等权指数也有类似现象。
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.