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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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In order to explain the U-shaped pattern of autocorrelations of stock returns i.e., autocorrelations starting around 0 for short-term horizons and becoming negative and then moving toward 0 for long-term horizons, researchers suggested the use of a state-space model consisting of an I(1) permanent component and an AR(1) stationary component, where the two components are assumed to be independent. They concluded that auto-regression coefficients derived from the state-space model follow a U-shape pattern and thus there is mean-reversion in stock prices. In this paper, we show that only negative autocorrelations are feasible under the assumption that the permanent component and the stationary component are independent in the state-space model. When the two components are allowed to be correlated in the state-space model, we show that the sign of the auto-regression coefficients is not restricted as negative. Monthly return data for all NYSE stocks for the period from 1926 to 2007 support the state-space model with correlated noise processes. However, the auto-regression coefficients of the ARIMA process, equivalent to the state-space model with correlated noise processes, do not follow a U-shaped pattern, but are always positive.
목차
Abstract
1. Introduction
2. A State-Space Model for Stock Prices
3. Empirical Analysis
4. Conclusion
References
〈Appendix〉
참고문헌 (18)
참고문헌 신청
1. [학술지(정기간행물)] - Balvers, R. / 2000 / Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies / Journal of Finance 55 (2) : 745 ~ 772
2. [학술지(정기간행물)] - Chaudhuri, K. / 2003 / Random Walk versus Breaking Trend in Stock Prices： Evidence from Emerging Markets / Journal of Banking and Finance 27 (4) : 575 ~ 592
3. [학술지(정기간행물)] - Chaudhuri, K. / 2003 / Mean Reversion in Stock Prices：Evidence from Emerging Markets / Managerial Finance 29 (10) : 22 ~ 37
4. [학술지(정기간행물)] - Conrad, J. / 1988 / Time-Variation in Expected Returns / Journal of Business 61 (4) : 409 ~ 425
5. [학술지(정기간행물)] - Fama, E.G. / 1970 / Efficient Capital Markets：A review of Theory and Empirical Work / Journal of Finance 25 (2) : 383 ~ 417
2. [학술지(정기간행물)] - Chaudhuri, K. / 2003 / Random Walk versus Breaking Trend in Stock Prices： Evidence from Emerging Markets / Journal of Banking and Finance 27 (4) : 575 ~ 592
3. [학술지(정기간행물)] - Chaudhuri, K. / 2003 / Mean Reversion in Stock Prices：Evidence from Emerging Markets / Managerial Finance 29 (10) : 22 ~ 37
4. [학술지(정기간행물)] - Conrad, J. / 1988 / Time-Variation in Expected Returns / Journal of Business 61 (4) : 409 ~ 425
5. [학술지(정기간행물)] - Fama, E.G. / 1970 / Efficient Capital Markets：A review of Theory and Empirical Work / Journal of Finance 25 (2) : 383 ~ 417
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UCI(KEPA) : I410-ECN-0101-2012-325-004234494