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- W1972180129 abstract "ABSTRACT We use the term structure of futures prices to test whether investors anticipate mean reversion in spot asset prices. The empirical results indicate mean reversion in each market we examine. For agricultural commodities and crude oil the magnitude of the estimated mean reversion is large; for example, point estimates indicate that 44 percent of a typical spot oil price shock is expected to be reversed over the subsequent eight months. For metals, the degree of mean reversion is substantially less, but still statistically significant. We detect only weak evidence of mean reversion in financial asset prices." @default.
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- W1972180129 date "1995-03-01" @default.
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- W1972180129 title "Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure" @default.
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- W1972180129 doi "https://doi.org/10.1111/j.1540-6261.1995.tb05178.x" @default.
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