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• W1808740182 abstract "The purpose of this paper is to examine the mean reversion hypothesis in the Tunisian stock market using two methods: We use a cointegration test technique between stock prices and fundamental value and we estimate the model of Chiang et al. (1995) developed to detect a potential mean reversion of stock prices to fundamental. Our results indicate that although stock prices diverge away from their fundamental value proxied by dividends or earnings, there is an error correction mechanism which adjusts stock prices to revert back to their fundamental value. Evidence also shows that mean reversion supports the predictability of stock returns by the dividend to price and the price to earnings ratios." @default.
• W1808740182 created "2016-06-24" @default.
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• W1808740182 date "2015-07-24" @default.
• W1808740182 modified "2023-10-01" @default.
• W1808740182 title "Stock Price Mean Reversion to Fundamentals and Long-Run Return Predictability in the Tunisian Stock Market" @default.
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• W1808740182 doi "https://doi.org/10.5539/ijbm.v10n8p183" @default.
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