Browsing Economic and Management Sciences by Subject "Mean reversion"

Browsing Economic and Management Sciences by Subject "Mean reversion"

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  • Fundamental momentum : a new approach to investment analysis 
    Dittberner, Andrew Graham (University of Pretoria, 2016)
    The study examined the momentum in the fundamentals of companies over time, and whether the information content in the momentum of the fundamentals improved the understanding of the long-standing price momentum and earnings ...
  • Persistence in trends and cycles of gold and silver prices : evidence from historical data 
    Cunado, Juncal; Gil-Alana, Luis A.; Gupta, Rangan (Elsevier, 2019-01)
    This study examines the persistence in gold and silver prices covering the historical periods of 1257 to 2016 and 1687 to 2016 respectively, by means of simultaneously estimating two differencing parameters for the long ...
  • Real interest rate persistence in South Africa : evidence and implications 
    Das, Sonali; Gupta, Rangan; Kanda, Patrick T.; Reid, Monique; Tipoy, Christian Kakese; Zerihun, Mulatu F. (Springer, 2014-01)
    The real interest rate is a very important variable in the transmission of monetary policy. It features in vast majority of financial and macroeconomic models. Though the theoretical importance of the real interest rate ...