Anomalies: A Mean-Reverting Walk Down Wall Street | Zendy

Werner F. M. De Bondt | Zendy; Richard H. Thaler | Zendy

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Anomalies: A Mean-Reverting Walk Down Wall Street

Author(s) -

Werner F. M. De Bondt,

Richard H. Thaler

Publication year - 1989

Publication title -

the journal of economic perspectives

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 9.614

H-Index - 196

eISSN - 1944-7965

pISSN - 0895-3309

DOI - 10.1257/jep.3.1.189

Subject(s) - mean reversion , economics , stock (firearms) , financial economics , stock price , econometrics , perspective (graphical) , monetary economics , history , mathematics , series (stratigraphy) , paleontology , geometry , archaeology , biology

Stock prices do appear to be somewhat predictable. In particular, if one takes a long-term perspective (3–7 years) or examines individual securities that have experienced extreme price movements, then stock returns display significant negative serial correlation, in other words, prices are mean reverting. This column reviews some of this evidence.

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