Mukherji, Sandip - In: American journal of finance and accounting 7 (2022) 1, pp. 53-70
This study investigates asymmetric mean reversion in the real returns of large- and small-cap US stocks for one- to ten …-cap stock returns show significant asymmetric mean reversion in all periods, although they have symmetric mean reversion in only … and asymmetric mean reversion produces higher adjusted R-squares than symmetric mean reversion for eight periods. Small …