Do Investors Expect Mean Reversion in Asset Prices?

• 1 January 1999
• journal article
• Published by Wiley in Journal of Business Finance & Accounting
• Vol. 26  (1-2) , 57-81
• https://doi.org/10.1111/1468-5957.00248

Abstract

Keywords

• EQUILIBRIUM MEAN REVERSION
• NEAREST TO MATURITY FUTURES CONTRACT
• TERM STRUCTURE
• IMPLIED CASH FLOWS
• INTEREST RATES
• TIME‐VARYING RISK PREMIA