Mean Reversion Cycles
The Journal of Finance. Werner F. M. De Bondt, Richard Thaler. Average of 16 Three – Year Periods Between January 1933 and December 1980. Length of Formation period: Three Years. Cumulative Average Residuals for Winner and Loser Portfolio of 35 stocks (1-36 months) into test period. We read about the McGregor’s X and Y theory. X theory […]