TY - JOUR
T1 - Mean Reversion in Equilibrium Asset Prices
T2 - Evidence from the Futures Term Structure
AU - BESSEMBINDER, HENDRIK
AU - COUGHENOUR, JAY F.
AU - SEGUIN, PAUL J.
AU - SMOLLER, MARGARET MONROE
PY - 1995/3
Y1 - 1995/3
N2 - 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. 1995 The American Finance Association
AB - 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. 1995 The American Finance Association
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U2 - 10.1111/j.1540-6261.1995.tb05178.x
DO - 10.1111/j.1540-6261.1995.tb05178.x
M3 - Article
AN - SCOPUS:84993848629
SN - 0022-1082
VL - 50
SP - 361
EP - 375
JO - The Journal of Finance
JF - The Journal of Finance
IS - 1
ER -