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dc.contributor.authorCarson, Clarkeen_NZ
dc.identifier.citationCarson, C. (2000, June 12). Mean reversion in Australasia (Thesis). Retrieved from
dc.description.abstractThe strong-form version of the efficient market hypothesis states that all information, past and current, is incorporated into the current share price, thus making investing a chance exercise. This study examines this by testing for mean reversion, ie., investor overreaction. I use all stocks that traded on either the New Zealand Stock Exchange or the Australian Stock Exchange from 1991 — 1999 to test if profits are possible by selling stocks that are performing well to purchase stocks that are performing poorly. This strategy finds that profits using this technique are insignificant, suggesting there is no mean reversion present in these markets.en_NZ
dc.subjectmean reversionen_NZ
dc.subjectinvestor overreactionen_NZ
dc.subjectNew Zealand Stock Exchangeen_NZ
dc.subjectAustralian Stock Exchangeen_NZ
dc.subject1991 — 1999,en_NZ
dc.subjectEfficient market hypothesisen_NZ
dc.subject.lcshHF Commerceen_NZ
dc.subject.lcshHF5601 Accountingen_NZ
dc.subject.lcshHG Financeen_NZ
dc.titleMean reversion in Australasiaen_NZ
otago.schoolFinanceen_NZ of Otagoen_NZ Thesesen_NZ
otago.openaccessAbstract Only
dc.identifier.eprints566en_NZ & Quantitative Analysisen_NZ
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