Testing a mean reversion hypothesis on the Toronto stock exchange
Monthly returns data for the 150 companies that have been listed on the Toronto Stock Exchange for at least 95% of the period from January 1963 to December 1987 are transformed into continuously compounded returns, adjusted for inflation, gathered into portfolios, and examined for the property known...
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| Language: | English |
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University of British Columbia
2010
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| Online Access: | http://hdl.handle.net/2429/27749 |