Drawing inferences from statistics based on multiyear asset returns
نویسندگان
چکیده
منابع مشابه
Drawing Inferences from Statistics Based on Multiyear Asset Returns*
Researchers investigating the possibility of mean reversion in stock prices with statistics based on multiyear returns have noted difficulties in drawing inferences from these statistics because the approximating asymptotic distributions perform poorly. We develop an alternative asymptotic distribution theory for statistics involving multiyear returns. These distributions diPier markedly from t...
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 1989
ISSN: 0304-405X
DOI: 10.1016/0304-405x(89)90086-x