Mean reversion lessens mean blur: evidence from the S&P composite index
This study makes use of a very long time series of the S&P Composite Index, checking once more that the rates of return benefit from aggregational normality. It performs unit root tests as well as elementary statistical tests that take advantage of normality. It finds that mean blur is not consi...
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| Veröffentlicht in: | International journal of financial studies 2023-03, Vol.11 (1), p.1-13 |
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| container_title | International journal of financial studies |
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| creator | Buzzacchi, Luigi |
| description | This study makes use of a very long time series of the S&P Composite Index, checking once more that the rates of return benefit from aggregational normality. It performs unit root tests as well as elementary statistical tests that take advantage of normality. It finds that mean blur is not consistent with the hypothesis of random walk with constant parameters, because the means of the annual real rates of linear return can be estimated as usual. It gives further evidence that the rates of return on the S&P Composite Index are mean-reverting. |
| doi_str_mv | 10.3390/ijfs11010022 |
| format | Article |
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| ispartof | International journal of financial studies, 2023-03, Vol.11 (1), p.1-13 |
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| source | DOAJ Directory of Open Access Journals; MDPI - Multidisciplinary Digital Publishing Institute; EZB-FREE-00999 freely available EZB journals |
| subjects | Buffett, Warren E Capital markets Consumer Price Index Datasets Dividends Fama, Eugene Financial markets Forecasts and trends GDP Gross Domestic Product Hypotheses Portfolio management Profits Rates of return Ratios Securities markets Shiller, Robert J Stock exchanges Stock price indexes Time series Volatility |
| title | Mean reversion lessens mean blur: evidence from the S&P composite index |
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