作者: Eugene F. Fama , Kenneth R. French
DOI: 10.1086/261535
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摘要: A slowly mean-reverting component of stock prices tends to induce negative autocorrelation in returns. The is weak for the daily and weekly holding periods common market efficiency tests but stronger long-horizon In 1926-85 period, large autocorrelations return horizons beyond a year suggest that predictable price variation due mean reversion accounts fractions 3-5-year variances. Predictable estimated be about 40 percent variances portfolios small firms. percentage falls around 25