Stock Market
- Zakamulin, V. Secular Mean Reversion and Long-Run Predictability of the Stock Market (2013). SSRN
- Spierdijk, L. and Bikker, J. Mean Reversion in Stock Prices: Implications for Long-Term Investors (2012). SSRN
Equity
- Da, Z., Liu, Q. and Schaumburg, E. Short-Term Return Reversal: The Long and the Short of It (2012). SSRN
- Spierdijk, L., Bikker, J. and Van den Hoek, P. Mean Reversion in International Stock Markets: An Empirical Analysis of the 20th Century (2011). SSRN
- Dunis, C., Laws, J. and Rudy, J. Profitable Mean Reversion after Large Price Drops: A Story of Day and Night in the S&P 500, 400 Mid Cap and 600 Small Cap Indices (2010). SSRN
- Balvers, R. and Wu, Y. Momentum and mean reversion across national equity markets (2001). Link
- Balvers, R., Wu, Y. and Gilliland, E. Mean Reversion Across National Stock Markets and Parametric Contrarian Investment Strategies (2000). Link
Futures
- Wang, C. and Yu, M. Trading activity and price reversals in futures markets (2003). Link
ETFs