Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/253603 
Year of Publication: 
2021
Citation: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 12 [Issue:] 3 [Publisher:] The Econometric Society [Place:] New Haven, CT [Year:] 2021 [Pages:] 903-944
Publisher: 
The Econometric Society, New Haven, CT
Abstract: 
This study compares and contrasts the multiple characterizations of mean reversion in financial time series as regards the restrictions they imply. This is accomplished by translating them into statements about an alternative measure, the "Average Crossing Time" or ACT. We argue that the ACT measure, per se, provides not only a useful benchmark for the degree of mean reversion/aversion, but also an intuitive, and easily quantified sense of one time series being "more strongly mean-reverting/averting" than another. We conclude our discussion by deriving the ACT measure for a wide class of stochastic processes and detailing its statistical characteristics. Our analysis is principally undertaken within a class of well-understood production based asset pricing models.
Subjects: 
asset pricing
average crossing time
Mean aversion
mean reversion
time series
JEL: 
C13
C53
E3
E44
E47
G1
G12
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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