1887

n Investment Analysts Journal - The impact of liquidity on mean reversion of share returns of the JSE

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Abstract

It has long been the dream of many an investor to be able to profit off the back of historical share prices using rules or technical analysis. This dream of a 'free lunch' has often been challenged by claims that the stock markets are efficient and consequently share prices fully reflect all the currently available information in the market. However, the presence of mean reversion of share returns on the JSE as shown by Cubbins, Eidne, Firer and Gilbert (2006) suggests that markets are not entirely efficient and that there are opportunities to earn abnormal returns.

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/content/invest/2007/66/EJC46804
2007-01-01
2016-12-08
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