Concepedia

Mean Reversion Analysis

Mean Reversion Analysis is a methodological framework in financial time series analysis that identifies and exploits the tendency of asset prices to revert to their long-run mean over time, distinguishing itself from other predictive models by focusing on equilibrium dynamics and stationary behavior in price deviations.

784

Publications

56.8K

Citations

1.4K

Authors

787

Institutions

Publications per year

2017–2026

138

Parents

Publications

784

A long memory property of stock market returns and a new model

Zhuanxin Ding, Clive W. J. Granger, Robert F. Engle · Journal of Empirical Finance · 1993 · 3.3K citations

, , +16

Permanent and Temporary Components of Stock Prices

Eugene F. Fama, Kenneth R. French · Journal of Political Economy · 1988 · 3.1K citations

, , +17

Testing the pecking order theory of capital structure

Murray Z. Frank, Vidhan K. Goyal · Journal of Financial Economics · 2002 · 2.5K citations

, , +17

The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging

Eduardo S. Schwartz · The Journal of Finance · 1997 · 2.1K citations

, , +17

Mean reversion in stock prices

James M. Poterba, Lawrence H. Summers · Journal of Financial Economics · 1988 · 1.9K citations

, , +14

1–5 of 784

Authors

1.4K

  1. LA
    Luis A. Gil‐Alana

    Universidad de Navarra, Spain

    24 publications · 1.1K citations

    16

    h-index

  2. MP
    Mark P. Taylor

    Centre for Economic Policy Research, United Kingdom

    12 publications · 598 citations

    12

    h-index

  3. GM
    Guglielmo Maria Caporale

    Brunel University of London, United Kingdom

    9 publications · 177 citations

    9

    h-index

  4. LS
    Lucio Sarno

    Centre for Economic Policy Research, United Kingdom

    8 publications · 542 citations

    8

    h-index

  5. YW
    Yangru Wu

    Rutgers, The State University of New Jersey, United States

    7 publications · 1.1K citations

    7

    h-index

1–5 of 1.4K

Institutions

787

  1. National Bureau of Economic Research

    Cambridge, United States

    19 h-index

    33 publications

    3.4K citations

  2. Universidad de Navarra

    Pamplona, Spain

    16 h-index

    24 publications

    1.1K citations

  3. Centre for Economic Policy Research

    London, United Kingdom

    15 h-index

    21 publications

    860 citations

  4. University of Chicago

    Chicago, United States

    11 h-index

    12 publications

    1.1K citations

  5. Universidad Francisco de Vitoria

    Pozuelo de Alarcón, Spain

    11 h-index

    18 publications

    806 citations

  6. Brunel University of London

    London, United Kingdom

    10 h-index

    10 publications

    341 citations

  7. University of Oxford

    Oxford, United Kingdom

    10 h-index

    11 publications

    639 citations

  8. University of Cambridge

    Cambridge, United Kingdom

    10 h-index

    15 publications

    741 citations

1–8 of 787

Venues

  1. The Journal of Finance

    32 publications · 10K citations

    29

    h-index

  2. SSRN Electronic Journal

    Repository · 88 publications · 3.1K citations

    27

    h-index

  3. Journal of Banking & Finance

    19 publications · 1.3K citations

    15

    h-index

  4. Applied Economics

    17 publications · 403 citations

    14

    h-index

  5. Journal of Empirical Finance

    16 publications · 4.2K citations

    14

    h-index

1–5