Sentences with phrase «evidence for mean reversion»

De Bondt and Thaler's findings stand the conventional wisdom on its head and show compelling evidence for mean reversion in stocks in a variety of forms.

Not exact matches

Looking at this data, at least, the evidence seems strong that a high CAPE today goes with lower stock returns in future periods, with the mean reversion becoming stronger for longer time periods.

Later work showed some evidence for a negative effect (mean reversion) on a longer timescale [2, 3].

The research we present in this article provides evidence that valuations are a key reason for this mean reversion: underperforming managers tend to hold cheaper assets, with cheaper factor loadings, setting them up for good subsequent performance, whereas recently winning managers tend to hold more - expensive assets.