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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

  • Smith, D. and Pantilei, V. Do 'Dogs of the World' Bark or Bite? Evidence From Single-Country ETFs (2013). SSRN
  • Richards, Anthony J. Winner-Loser Reversals in National Stock Market Indices: Can They be Explained? (2006). SSRN

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