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Mean Reversion in Stock Prices : Implications for Long-Term Investors

Spierdijk, Laura - 2012

This paper discusses the implications of mean reversion in stock prices for long-term investors such as pension funds. We start with a general definition of a mean-reverting price process and explain how mean reversion in stock prices is related to mean reversion in stock returns. Subsequently,...

Persistent link: https://www.econbiz.de/10013107332

Misspecification of the Panzar-Rosse model : assessing competition in the banking industry

Bikker, Jacob A.; Spierdijk, Laura; Finnie, Paul - 2006

Persistent link: https://www.econbiz.de/10003377891

Mean reversion in stock prices : implications for long-term investors

Spierdijk, Laura; Bikker, Jacob A. - In: Pension fund economics and finance : efficiency, …, (pp. 119-139). 2018

Persistent link: https://www.econbiz.de/10011818669

Macro-economic forecasting for the major four EU countries : a two-step Bayesian VAR approach

Bikker, Jacob A. - In: Cahiers économiques de Bruxelles (1999) 2, pp. 203-231

Persistent link: https://www.econbiz.de/10001402352

Inflation forecasting for aggregates of the EU-7 and EU-14 with Bayesian VAR models

Bikker, Jacob A. - In: Journal of forecasting 17 (1998) 2, pp. 147-165

Persistent link: https://www.econbiz.de/10001244490

An extended gravity model with substitution applied to international trade

Bikker, Jacob A. - 2009

Persistent link: https://www.econbiz.de/10003865207

Internal and external trade liberalization in the EEC : an econometric analysis of international trade flows

Bikker, Jacob A. - In: Economie appliquée : archives de l'Institut de … 45 (1992) 3, pp. 91-119

Persistent link: https://www.econbiz.de/10001133944

Cross-sector diversification in financial conglomerates : simulations with a fair-value assets and liabilities model

Bikker, Jacob A. - In: Quarterly review / Banca Nazionale del Lavoro, Roma 55 (2002), pp. 363-389

Persistent link: https://www.econbiz.de/10003105987

Cost differences between pension funds and life insurers in providing pensions

Bikker, Jacob A. - In: Pension fund economics and finance : efficiency, …, (pp. 77-86). 2018

Persistent link: https://www.econbiz.de/10011818656

Rational expectation variables in macroeconomic models : empirical evidence for the Netherlands and other countries

Bikker, Jacob A. - In: Essays on empirical macroeconomic and monetary modelling, (pp. 87-100). 1995

Persistent link: https://www.econbiz.de/10001296764

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