Sentences with phrase «strongest mean reversion»

Shiller's research showed that CAPE ratios do not predict future growth rates; he found that some of the strongest mean reversion in the capital markets is between past and future earnings growth rates.

Economic volatility exhibits strong mean reversion.

Relative valuation levels for most factors exhibit strong mean reversion.

That's pretty strong mean reversion, though admittedly, noise is always stronger in the short run.

Not exact matches

If there is mean reversion in the difference between the two yields, the effect is not a strong one.

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.

I don't see the VIX being a strong predictor to mean reversion returns.

Apparently your results reflect the strong uptrend of the market and can not be used to support mean reversion unless the series are properly detrended.

The further we are away from the mean, the stronger the tendency toward mean - reversion.

Mauboussin's research seems to suggest that, while there exists a strong tendency towards mean reversion, some companies do «post persistently high or low returns beyond what chance dictates.»

When we explain the intuition behind half - life of valuation mean reversion in this article, we assume the second effect is significantly stronger.

If mean reversion does occur in the years ahead, the regression will begin to show a strong relationship.

The first rally in every bull market is ALWAYS very fierce because there's a strong mean - reversion theme going on.

Mauboussin's research supports Graham's view that, while some businesses do generate persistently high or low returns on invested capital beyond what chance dictates, there exists a strong tendency toward mean reversion in most businesses.

The outstanding Shadowstock blog has identified five «strong candidates for mean reversion.»

Kinnaras is a strong advocate of mean reversion and has found that pessimistic valuations, and thus attractive investment opportunities, often manifest when the broader investment community disregards mean reversion and impounds overly pessimistic expectations into security prices.

Though the momentum anomaly (weak as it has been recently) usually favors portfolios with stronger price momentum, the relationship breaks down over longer periods of time, and more severe moves, where mean - reversion tends to take over.

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.

It is probably better described as an Ornstein - Uhlenbeck type of red noise model with a strong reversion to the mean, i.e. 0C.