We use the expected lifetime range (ELR) ratio based on the extreme values of asset prices to detect the presence of mean reversion in stock returns. We find that the actual cross-sectional average of the ELR ratio is significantly less than its bootstrap means, thereby indicating a considerable...

Institut für Halle Institute for Economic Research Wirtschaftsforschung Halle Das Institut für Wirtschaftsforschung Halle ist Mitglied der Leibniz-Gemeinschaft Are European Equity Style Indexes Mean Reverting? Testing the Validity of the Efficient Market...

This paper provides evidence on the random walk hypothesis in G7 stock price indices using unit root tests which allow for one and two structural breaks in the trend. Of the seven countries we find, at best, evidence of mean reversion in the stock price index of Japan. Thus, overall, our results...