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Article

Mean Reversion of Abnormal Stock Returns

Sandip Mukherji
The Journal of Wealth Management Spring 2012, 14 (4) 122-129; DOI: https://doi.org/10.3905/jwm.2012.14.4.122
Sandip Mukherji
is a professor in the Department of Finance, International Business, and Insurance at Howard University in Washington, DC.
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  • For correspondence: smukherji@howard.edu
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Abstract

This study tests for mean reversion in abnormal stock returns that divert more than one standard deviation from the mean. Biases due to a small sample, the January effect, and unique events are avoided by using large samples generated by a block bootstrap procedure starting in random months and studying two different periods. The results show stronger mean reversion in abnormal returns than in all returns for large- and small-company stocks during both periods, thus supporting the rationale for time diversification. Both large and small-company stocks exhibited the strongest mean reversion for four-year returns from 1926–1966 and for five-year returns from 1967–2007.

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The Journal of Wealth Management: 14 (4)
The Journal of Wealth Management
Vol. 14, Issue 4
Spring 2012
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Mean Reversion of Abnormal Stock Returns
Sandip Mukherji
The Journal of Wealth Management Jan 2012, 14 (4) 122-129; DOI: 10.3905/jwm.2012.14.4.122

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Mean Reversion of Abnormal Stock Returns
Sandip Mukherji
The Journal of Wealth Management Jan 2012, 14 (4) 122-129; DOI: 10.3905/jwm.2012.14.4.122
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