Sentences with phrase «experience mean reversion»

Even with extreme events, it is possible a security will experience a mean reversion.

Valuations on high - yielding stocks may have become overstretched in the historically low - yield environment, potentially making them vulnerable if the markets experience a mean reversion shift.

Not exact matches

Stocks that are significantly undervalued by quantitative measures often experience a reversion to the mean, their price eventually becomes more inline with their fundamental value.

By comparing each student's gain to gains among students who performed at a similar level and would have experienced a similar, natural shift toward the average score, I can better separate legitimate test - score gains and losses from change associated with mean reversion.

In theory, it would follow that long mean - reversion setups should do well in this scenario, or at least experience a higher win rate.

I know from experience that mean reversion trading diid well from 2003 to 2009.

As an investor, you should make sure that your chosen investments will experience «mean reversion».

While the paper notes that mean reversion does occur, it also notes that in any one particular company / industry you may experience a great degree of persistence in returns.

Disaster or Unexcellent companies experience periods of stellar returns due to mean reversion.

More generally, as first documented by DeBondt and Thaler (1987), a stock, on average, experiences short - term mean reversion on a monthly horizon, then momentum on the horizon of up to a year, and then mean reversion on the horizon larger than a year and strongest over 2 to 3 years.