Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/322874 
Erscheinungsjahr: 
2012
Schriftenreihe/Nr.: 
Discussion Papers Series No. 12-07
Verlag: 
Utrecht University, Utrecht School of Economics, Tjalling C. Koopmans Research Institute, Utrecht
Zusammenfassung: 
This paper discusses the implications of mean reversion in stock prices for longterm investors such as pension funds. We start with a general definition of a meanreverting price process and explain how mean reversion in stock prices is related to mean reversion in stock returns. Subsequently, we show that mean reversion makes stocks less risky for investors with long investment horizons. Next, we consider a mean-variance efficient investor and show how mean reversion in stock prices affects such an investor's optimal portfolio weights. Finally, we discuss the implications of our findings for the investment decisions of long-term investors.
Schlagwörter: 
mean-variance efficiency
optimal portfolio weights
pension funds
risk-aversion
variance of stock returns
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
274.75 kB





Publikationen in EconStor sind urheberrechtlich geschützt.