Mean Reversion and Consumption Smoothing: A Comment

Fang Zhou

Liutang Gong

and

Yaping Wang

This comment restudies Black’s (1990) [Black F., 1990. Mean reversion and
consumption smoothing. Review of Financial Studies 3,107-114.] paper and
shows that the conclusions in Black (1990) are not right.

Key Words: Mean reversion; Portfolio selection.
JEL Classification Numbers: O41.