Learning and Mean Reversion in Asset Returns

William H. Sackley

doi:10.2469/dig.v30.n3.725

Mean reversion in asset returns and time non-separable preferences

International Review of Economics & Finance ◽

10.1016/s1059-0560(00)00079-4 ◽

2001 ◽

Vol 10 (3) ◽

pp. 223-245 ◽

Cited By ~ 1

Author(s):

Petr Zemčı́k

Keyword(s):

Mean Reversion ◽

Asset Returns ◽

Separable Preferences

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Learning and mean reversion in asset returns

The Quarterly Review of Economics and Finance ◽

10.1016/s1062-9769(99)00037-x ◽

1999 ◽

Vol 39 (4) ◽

pp. 529-545 ◽

Cited By ~ 5

Author(s):

Mark A Cassano

Keyword(s):

Mean Reversion ◽

Asset Returns

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Mean reversion in asset returns with varying debt and equity components: Evidence and implications from preferred stock

The Quarterly Review of Economics and Finance ◽

10.1016/s1062-9769(97)90017-x ◽

1997 ◽

Vol 37 (3) ◽

pp. 683-696 ◽

Cited By ~ 1

Author(s):

Carl R. Chen ◽

David A. Sauer

Keyword(s):

Mean Reversion ◽

Asset Returns ◽

Preferred Stock

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Dynamics of Asset Returns Considering Asymmetric Volatility Effects: Evidences from Korean Asset Markets

KDI Journal of Economic Policy ◽

10.23895/kdijep.2011.33.1.93 ◽

2011 ◽

Vol 33 (1) ◽

pp. 93-124

Author(s):

Yun-Yeong Kim ◽

Lee, Jinsoo

Keyword(s):

Asset Returns ◽

Asset Markets ◽

Asymmetric Volatility

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Properties of the beta coefficient of the global minimum variance portfolio

Mathematical Modeling and Computing ◽

10.23939/mmc2021.01.011 ◽

2020 ◽

Vol 8 (1) ◽

pp. 11-21

Author(s):

S. M. Yaroshko ◽

◽

M. V. Zabolotskyy ◽

T. M. Zabolotskyy ◽

◽

...

Keyword(s):

Confidence Interval ◽

Asymptotic Distribution ◽

Global Minimum ◽

Asset Returns ◽

Minimum Variance ◽

Benchmark Portfolio ◽

Beta Coefficient ◽

Minimum Variance Portfolio ◽

Global Minimum Variance Portfolio ◽

Daily Returns

The paper is devoted to the investigation of statistical properties of the sample estimator of the beta coefficient in the case when the weights of benchmark portfolio are constant and for the target portfolio, the global minimum variance portfolio is taken. We provide the asymptotic distribution of the sample estimator of the beta coefficient assuming that the asset returns are multivariate normally distributed. Based on the asymptotic distribution we construct the confidence interval for the beta coefficient. We use the daily returns on the assets included in the DAX index for the period from 01.01.2018 to 30.09.2019 to compare empirical and asymptotic means, variances and densities of the standardized estimator for the beta coefficient. We obtain that the bias of the sample estimator converges to zero very slowly for a large number of assets in the portfolio. We present the adjusted estimator of the beta coefficient for which convergence of the empirical variances to the asymptotic ones is not significantly slower than for a sample estimator but the bias of the adjusted estimator is significantly smaller.

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