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The power and size of mean reversion tests
Authors:Kent Daniel  
Affiliation:1. Loughborough University, Loughborough, LE11 3TU, UK;2. Department of Economics and IEI, Jaume I University, Spain;3. Department of Economics and Finance, Tallinn University of Technology, Estonia;1. State Key Laboratory of Medical Genetics & School of Life Sciences, Central South University, Changsha 410013, China;2. State Key Laboratory of Chemo/Biosensing and Chemometrics, Hunan University, Changsha 410081, China;1. University of Bern, Engehaldenstrasse 4, 3012 Bern, Switzerland;2. University of Fribourg, Bd. de Pérolles 90, 1700 Fribourg, Switzerland;1. Department of Pharmacognosy, Faculty of Pharmacy, Urmia University of Medical Sciences, Urmia, Iran;2. Department of Biology, Science Faculty, Selcuk University, Konya, Turkey;3. Research Center for Pharmaceutical Nanotechnology, Tabriz University of Medical Sciences, Tabriz, Iran;4. Suleyman Demirel University, Faculty of Pharmacy, Department of Analytical Chemistry, Isparta, Turkey;5. Biotechnology Research Center, Tabriz University of Medical Sciences, Tabriz, Iran
Abstract:
Keywords:Mean reversion tests   Power   Stock prices
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