TY  - JOUR
AU  - Richardson,Matthew
AU  - Stock,James H.
TI  - Drawing Inferences From Statistics Based on Multi-Year Asset Returns
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 3335
PY  - 1990
Y2  - April 1990
UR  - http://www.nber.org/papers/w3335
L1  - http://www.nber.org/papers/w3335.pdf
N1  - Author contact info:
Matthew P. Richardson
Stern School of Business
New York University
44 West 4th Street, Suite 9-190
New York, NY 10012
Tel: 212/998-0349
Fax: 212/995-4233
E-Mail: mrichar0@stern.nyu.edu

James H. Stock
Department of Economics
Harvard University
Littauer Center M27
Cambridge, MA 02138
Tel: 617/496-0502
Fax: 617/495-7730
E-Mail: James_Stock@harvard.edu
AB  - The possibility of mean reversion in stock prices recently has been examined using statistics based on multi-year returns. Previous researchers have noted difficulties in drawing inferences about these statistics because of poor performance of the usual approximating asymptotic distributions. We therefore develop an alternative asymptotic distribution theory for statistics involving multi-year returns. These distributions differ markedly from those implied by the conventional theory. This alternative theory provides substantially better approximations to the relevant finite-sample distributions. It also leads to empirical inferences much less at odds with the hypothesis of no mean reversion.
ER  -