| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25519 |
| 来源ID | Working Paper 25519 |
| Average Crossing Time: An Alternative Characterization of Mean Aversion and Reversion | |
| John B. Donaldson; Rajnish Mehra | |
| 发表日期 | 2019-02-04 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We evaluate the properties of mean reversion and mean aversion in asset prices and returns as commonly characterized in the finance literature. The study is undertaken within a class of well-known dynamic stochastic general equilibrium models and shows that the mean reversion/aversion distinction is largely artificial. We then propose an alternative measure, the ‘Average Crossing Time’ that both unifies these concepts and provides an alternative characterization. Ceteris paribus, mean reverting processes have a relatively shorter average crossing time as compared to mean averting processes. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Business Cycles ; Money and Interest Rates ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w25519 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/583193 |
| 推荐引用方式 GB/T 7714 | John B. Donaldson,Rajnish Mehra. Average Crossing Time: An Alternative Characterization of Mean Aversion and Reversion. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25519.pdf（2139KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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