DC Field | Value | Language |
---|---|---|
dc.contributor.author | 전덕빈 | ko |
dc.contributor.author | 김용진 | ko |
dc.contributor.author | 박대근 | ko |
dc.date.accessioned | 2013-03-12T22:03:15Z | - |
dc.date.available | 2013-03-12T22:03:15Z | - |
dc.date.created | 2012-11-13 | - |
dc.date.created | 2012-11-13 | - |
dc.date.created | 2012-11-13 | - |
dc.date.issued | 2011-11 | - |
dc.identifier.citation | MSFE, v.17, no.2, pp.85 - 97 | - |
dc.identifier.issn | 2287-2043 | - |
dc.identifier.uri | http://hdl.handle.net/10203/103663 | - |
dc.description.abstract | In this study we examine the long term behavior of stock returns. The analysis reveals that negative autocorrelations of the returns exist for a super-long horizon as long as 10 years. This pattern, however, contrasts to predictions of previous stock price models which include random walks. We suggest the introduction of a fractionally integrated process into a nonstationary component of stock prices, and demonstrate empirically the existence of the process in NYSE stock returns. The predicted values of autocorrelation from our stock price model confirm the super-long term behavior of the returns observed in regression, indicating that inefficiency in the stock market could remain for a long time. | - |
dc.language | Korean | - |
dc.publisher | 한국경영과학회 | - |
dc.title | Long Term Mean Reversion of Stock Prices Based on Fractional Integration | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.citation.volume | 17 | - |
dc.citation.issue | 2 | - |
dc.citation.beginningpage | 85 | - |
dc.citation.endingpage | 97 | - |
dc.citation.publicationname | MSFE | - |
dc.identifier.kciid | ART001605509 | - |
dc.contributor.localauthor | 전덕빈 | - |
dc.contributor.nonIdAuthor | 김용진 | - |
dc.contributor.nonIdAuthor | 박대근 | - |
dc.subject.keywordAuthor | Fractional Integration | - |
dc.subject.keywordAuthor | Market Inefficiency | - |
dc.subject.keywordAuthor | Mean Reversion | - |
dc.subject.keywordAuthor | Stock Price Model | - |
dc.subject.keywordAuthor | Fractional Integration | - |
dc.subject.keywordAuthor | Market Inefficiency | - |
dc.subject.keywordAuthor | Mean Reversion | - |
dc.subject.keywordAuthor | Stock Price Model | - |
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