B.S. (Bachelor of Science)
Department of Finance
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.
Steinberg, Wade, "Return to Higgledy-Piggledy Growth Again and Again" (1998). Honors Capstones. 966.
Northern Illinois University
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