[14]McQueen G. Long-horizon mean-reverting stock prices revisited[J] Journal of Financial and Quantitative Analysis,1992,27:1-18 [15]Poterba J M, Summers L H. Mean reversion in stock prices: Evidence and implications[J]. Journal of Financial Economics,1988,22:27-569 [16]Richardson M, Stock J H. Drawing inferences from statistics based on multiyear asset returns[J]. Journal of Financial Economics. 1989. 25: 323-348 1刁][英]特伦斯C米尔斯,俞卓菁译.金融时间序列计量经济学模型[M]经济科学出版社,2002 The Latest Development on the Theory of Mean Reversion and its Quantitative analysis method Song Yu-che (Business School, Jilin University,Changchun jilin 130012,China) Abstract: The establishment of The Theory of Random Walk and many tests of it support that the stock price could not be predicted. Nevertheless, with the development of security investment theory for a decade, there ha been a great progress at the forecast of the movement of share price theoretically and practically. the Theory of Mean Reversion believers argue that from a long run, the price of stock appears to be like mean reversion. The following article proves to be a comprehensive and systematic description, as well as a relevant analysis and comment of the theory of mean reversion especially for long-term investors Key words: Mean Reversion; Autocorrelation; Variance ratio; Unit root; ANST-GARCH Model 收稿日期:2005-1-24 作者简介:宋玉臣,男,吉林大学数量经济研究中心副教授。7 [14] McQueen G. Long-horizon mean-reverting stock prices revisited[J]. Journal of Financial and Quantitative Analysis, 1992, 27: 1 –18. [15] Poterba J M, Summers L H. Mean reversion in stock prices: Evidence and implications[J]. Journal of Financial Economics, 1988, 22: 27–569. [16] Richardson M, Stock J H. Drawing inferences from statistics based on multiyear asset returns[J]. Journal of Financial Economics, 1989, 25: 323–348. [17] [英]特伦斯●C●米尔斯, 俞卓菁译. 金融时间序列计量经济学模型[M]. 经济科学出版社, 2002. The Latest Development on the Theory of Mean Reversion and its Quantitative analysis method Song Yu-chen (Business School , Jilin University, Changchun jilin 130012 , China) Abstract:The establishment of The Theory of Random Walk and many tests of it support that the stock price could not be predicted. Nevertheless, with the development of security investment theory for a decade, there has been a great progress at the forecast of the movement of share price theoretically and practically. The Theory of Mean Reversion believers argue that from a long run, the price of stock appears to be like mean reversion. The following article proves to be a comprehensive and systematic description , as well as a relevant analysis and comment of the theory of mean reversion ,especially for long-term investors. Key words: Mean Reversion; Autocorrelation; Variance ratio; Unit root; ANST-GARCH Model 收稿日期：2005-1-24 作者简介： 宋玉臣，男，吉林大学数量经济研究中心副教授