Drawing Inferences from Statistics Based on Multi-Year Asset Returns

摘要: The possibility of mean reversion in stock prices recently has been examined using statistics based on multi-year returns. Previous researchers have noted difficulties drawing inferences about these because poor performance the usual approximating asymptotic distributions. We therefore develop an alternative distribution theory for involving These distributions differ markedly from those implied by conventional theory. This provides substantially better approximations to relevant finite-sample It also leads empirical much less at odds with hypothesis no reversion.