TY - JOUR AB - Evidence of mean reversion in U.S. stock prices during the post‐World War II era is mixed. I find that using the standard portfolio formation method to construct size‐sorted portfolios is inadequate for detecting mean reversion. Using alternative portfolio formation methods and additional cross‐sectional power gained from size‐sorted portfolios during the period 1963 to 1998, I find strong evidence of mean reversion in portfolio prices. My findings imply a significantly positive speed of reversion with a half‐life of approximately three and a half years. Parametric contrarian investment strategies that exploit mean reversion outperform buy‐and‐hold and standard contrarian strategies. VL - 29 IS - 10 SN - 0307-4358 DO - 10.1108/03074350310768481 UR - https://doi.org/10.1108/03074350310768481 AU - Gropp Jeffrey PY - 2003 Y1 - 2003/01/01 TI - Mean reversion of size‐sorted portfolios and parametric contrarian strategies T2 - Managerial Finance PB - MCB UP Ltd SP - 5 EP - 21 Y2 - 2024/03/28 ER -