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  5. Anomalies: A Mean-Reverting Walk Down Wall Street

Journal of Economic Perspectives

ISSN 0895-3309 (Print) | ISSN 1944-7965 (Online)

Anomalies: A Mean-Reverting Walk Down Wall Street

  • Werner F. M. De Bondt
  • Richard H. Thaler
Journal of Economic Perspectives
vol. 3, no. 1, Winter 1989
(pp. 189–202)
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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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