Thu, 24 Jul 2008 19:40:06 BST CiteULike: bigbossman mean http://www.citeulike.org/user/bigbossman/tag/mean CiteULike.org en-gb Copyright © 2004-2008 citeulike.org http://www.citeulike.org/user/bigbossman/article/2523915 <i>(18 Jul 2005)</i><br /><br />For a large class of statistical systems a geometric mean value of the observables is constrained. These observables are characterized by a power-law statistical distribution. On a geometric mean and power-law statistical distributions A Rostovtsev (18 Jul 2005) 2008-03-13T07:04:41-00:00 2005 distribution mean powerlaw http://www.citeulike.org/user/bigbossman/article/962748 <i>No. 04-11. (November 2004)</i><br /><br />A number of studies have separately identified mean reversion and momentum, but this paper considers these effects jointly: Potential for mean reversion and momentum is combined optimally into one indicator, interpretable as a risk-adjusted expected return. Combination momentum-contrarian strategies, used to select from among 18 developed equity markets at a monthly frequency, outperform both pure momentum and pure contrarian strategies. A key assumption is that, among developed markets, only global equity price index shocks can have permanent components, as would be reasonable in a production-based asset-pricing context, given that production levels converge across developed countries. The results hold with basic risk corrections and continue to hold after transactions costs are included. They reveal that it is important to control for mean reversion in exploiting momentum and vice versa. Momentum and Mean Reversion Across National Equity Markets Ronald Balvers Yangru Wu No. 04-11. (November 2004) 2006-11-27T09:05:32-00:00 2004 04-11 equity mean momentum reversion stocks