Can mean reversion be observed in non-financial time series data?

Jan 8, 2025 ... The gambler's fallacy may lead many to believe that the market is “due” for a bad year given a meaningfully lower long-term average annual return for the S&P ... Oct 2, 2017 ... Although there is statistical evidence that the CAPE is indeed mean-reverting, this process isn't as strong as it can appear from the chart above. Jan 8, 2025 ... The gambler's fallacy may lead many to believe that the market is “due” for a bad year given a meaningfully lower long-term average annual return for the S&P ... Mean reversion strategies attempt to capture profits as the price of an asset returns to more normal levels, or the average. When considering using a mean ... Reversion to the mean and what it means for portfolios ... FIGURE 16. Page 14. 40. EXPLOITING MEAN REVERSION. OUTLOOK 2021. CITI PRIVATE BANK. Portfolios and mean. Aug 1, 1987 ... It demonstrates that variance ratios are among the most powerful tests for detecting mean reversion in stock prices, but that they have little ... Feb 3, 2017 ... Mean reversion models have been developed to capture the historical data rather than to reflect critical aspects of financial and economic ... We find NAV spreads for companies trading at a high discount to mean revert fastest. Remarkably, we also provide evidence that online search attention impacts ... May 30, 2014 ... Investors see these past growth rates, and extrapolate them into the future through their own buying and selling, which is why growth stocks are ... Sep 14, 2003 ... Elmo says the key to understanding the implications of mean-reversion is in understanding the implications of predictability for stock ...