Poterba and summers 1988

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August undefined, 2024

Web1 Oct 1988 · Volume 22, Issue 1, October 1988, Pages 27-59 Mean reversion in stock prices: Evidence and Implications James M. Poterba , Lawrence H. Summers Add to Mendeley … Web25 Jun 2014 · One, partial, explanation comes from the observation by various researchers including Poterba and Summers (1988) and Fama and French (1988), of positive short-term autocorrelation among stock returns and negative longer-term autocorrelation.

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WebŽ. Ž. Ž.1988 , Poterba and Summers 1988 , and Kim et al. 1991 find that the mean reversion evidence is extremely sensitive to the inclusion of 1930s and 1940s data in estimation. Our regression approach can be contrasted with the simulation approach typically used to test explanations of the mean reversion evidence. For instance, WebThe following model, used in Fama and French (1988) and Cutler, Poterba, and Summers (1991), can capture both the traditional model and the idea of fads: (1) (2) where pt is the log of the stock market price in period t, pt * is the non-stationary component of the log price, and εt is white noise. Under the traditional model, log prices are a ... foot 2 brilliance

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WebPoterba, James M. and Lawrence H. Summers. "The Economic Effects of Dividend Taxation." Recent Advances in Corporate Finance, edited by Edward Altman and Marti Subrahmanyam, pp. 227-284. Homewood, IL: Richard D. Irwin Publishers, 1985. Topics Financial Economics Web(1984), Fama and French (1988a, b) for the U.S. market, Poterba and Summers (1988), Cutler, Poterba and Summers (1991) for U.S. and European markets and Sentana and Wadhwani (1991) for the Japanese market, among many. Fama and French (1988a) and Poterba and Summers (1988) show that there appears to be evidence for a mean … WebIn a related literature, a number of studies have found evidence of mean reversion in returns on stock portfolios at horizons of three to five years or longer (Poterba and Summers 1988; Fama and French 1988). This implies that a long period of below-average stock returns increases the likelihood of a period of above-average returns in the future. electrolux wasmachine review

What Moves Stock Prices? by David M. Cutler, James M. Poterba …

Mean reversion in stock prices: Evidence from emerging markets

WebPoterba and Summers (1988) yet retains the rationality of Fama and French (1988). In the rational speculative bubbles model, investors realize that prices exceed fundamental … Web1 Jun 2008 · Section snippets Basic model. Let p t be the log value of a portfolio in which dividend payments are re-invested such that r t = p t − p t − 1 is the log-return. The model studied in Fama and French (1988), Poterba and Summers (1988) is p t = q t + z t, q t = q t − 1 + μ + σ η η t, z t = ϕ z t − 1 + σ ϵ ϵ t.. Likelihood inference for this model is possible under … electrolux wasmachine storing e40WebThis implies a long horizon mean reversion of the kind documented by Poterba and Summers (1988), Fama and French (1998a), and Campbell and Shiller (1988). Thus, apart from the very short returns that exhibit positive autocorrelation, the model reproduces the empirical record. TABLE 8.4. Autocorrelation of Log-Returns electrolux water filter 1004 42 fa

"WebThe VR test is often used (see Cochrane, 1988; Lo and MacKinlay, 1988; Poterba and Summers, 1988; among others) to test the hypothesis that a given time series or its ﬁrst difference (or return), xt =yt −yt−1, is a collection of i.i.d. observations or that it follows a martingale difference sequence. Deﬁne the VR of k-period return as V ... " - Poterba and summers 1988

Poterba and summers 1988

The Economic Effects of Dividend Taxation NBER

WebDeBondt and Thaler (1985, 1987), DeLong, Shleifer, Summers, and Waldmann (1989), Lehmann (1988), Poterba and Summers (1988), and Shefrin and Statman (1985)]. Although such a hypothesis does imply predictability, since what goes down must come up and vice versa, a well-articulated equilibrium theory of overreaction with sharp WebJames M. Poterba & Lawrence H. Summers Working Paper 2343 DOI 10.3386/w2343 Issue Date August 1987 This paper analyzes the statistical evidence bearing on whether …

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Webtion through a framework relating the real This paper presents a model for the and financial decisions, the most ambianalysis of the joint effects of taxation on tious are those of Brimmer and Sinai the real and financial decisions of the firm. (1976), and of Sinai et al. (1982). In these The model is composed of three recursive studies, the integration of the … Web1 Jul 2024 · 政大學術集成(NCCU Academic Hub)是以機構為主體、作者為視角的學術產出典藏及分析平台，由政治大學原有的機構典藏轉型而成。

Web1988, Poterba and Summers 1988 and Baxter 1994). The theoretical model, which largely follows that of Malliaropulos (1998), predicts a negative relationship. The fourth contribution, which is the primal objective of this paper, is to investigate the determinants of the dynamic link between the two series. ... WebLawrence Henry Summers (d. 30 Kasım 1954; New Haven, Connecticut), 1999'dan 2001'e kadar Amerika Birleşik Devletleri hazine bakanı ve 2009'dan 2010'a kadar Ulusal Ekonomi Konseyi'nin direktörü olarak görev yapan Amerikalı ekonomist ve siyasetçi.Ayrıca 2001'den 2006'ya kadar Harvard Üniversitesi'nin başkanı olarak görev yaptı.. Summers, 1983'te …

http://research.economics.unsw.edu.au/jmorley/kmn01.pdf Web3Poterba and Summers (1988) present evidence on the low power of regression tests and variance ratio tests of serial dependence in returns. Both of these tests can be expressed …

WebCutler, Poterba, and Summers (1991) showed that stock prices experience some of their largest one-day moves. Jegadeesh and Titman (1993) observed a unique trend in prices of individual stocks held for more ... 2000), De Bondt and Thaler (1985) research showed that investors overreact, Poterba and Summers (1988) concluded analogous reversals for ...

http://fmwww.bc.edu/repec/mmfc05/paper64.pdf electrolux western capeWebPoterba and Summers (1991), and report results on the serial depen dence of returns on stock prices and the relationship between short term interest rates and return … foot2face houtenWeb16 Jun 2004 · See all articles by James M. Poterba James M. Poterba. Massachusetts Institute of Technology (MIT) - Department of Economics; National Bureau of Economic Research (NBER) ... Poterba, James M. and Poterba, James M. and Summers, Lawrence H., Mean Reversion in Stock Prices: Evidence and Implications (August 1987). NBER Working … electrolux wh6-7WebJames Poterba ( [email protected]) and Lawrence Summers Journal of Financial Economics, 1988, vol. 22, issue 1, 27-59 Date: 1988 References: Add references at CitEc … electrolux well q8 ceneoWebIn empirical studies that involve long-term UK market evidence Poterba and Summers (1988) find negative serial correlation consistent with overreaction, while Dissanaike (1997) employs contrarian strategies adjusted for risk and also finds that past losers outperform past winners. Furthermore, Brouwer et al., (1997) come to similar electrolux wh6-33WebJames M. Poterba Lawrence H. Summers Working Paper No. 1353 NATIONAi BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 May 19814 This paper was prepared for the NYU Conference on Recent Advances in Corporate Finance, November 1983. We wish to thank Ignacio Mas for research assistance and Fischer Black, … foot 26Web[1] Poterba and Summers, 1988, Mean Reversion in Stock Prices: Evidence and Implications, Journal of Financial Economics 22, 27-59 [2] Fama and French, 1988, Permanent and … foot 2 dog leash