Publication Date

1-1-1998

Document Type

Dissertation/Thesis

First Advisor

Chittenden, William

Degree Name

B.S. (Bachelor of Science)

Department

Department of Finance

Abstract

This study, based upon recently published research on the subject, investigates mean reversion in large portfolios of stocks. Portfolios were formed based upon E/P ratios and industry diversification using firms listed on the New York Stock Exchange from 1977 to 1996. Analysis of the data confirms the presence of mean reversion but disagrees with other published works on the timing of the reversion. This study attempts to address unanswered questions concerning mean reversion. Particularly, the study discusses how investors can practically apply knowledge of mean reversion through contrarian investment strategies.

Extent

10 pages

Language

eng

Publisher

Northern Illinois University

Rights Statement

In Copyright

Rights Statement 2

NIU theses are protected by copyright. They may be viewed from Huskie Commons for any purpose, but reproduction or distribution in any format is prohibited without the written permission of the authors.

Media Type

Text

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