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  3. Journal of Economic Perspectives
  4. Winter 1989
  5. Anomalies: A Mean-Reverting Walk Down Wall Street

Anomalies: A Mean-Reverting Walk Down Wall Street

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Abstract

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.

Citation

De Bondt, Werner F. M., and Richard H. Thaler. 1989. "Anomalies: A Mean-Reverting Walk Down Wall Street." Journal of Economic Perspectives, 3 (1): 189-202. DOI: 10.1257/jep.3.1.189

JEL Classification

  • 133 Wage and Price Controls
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