BMO CM on Mean Reversion of Canadian Banks

BMO Capital Markets, 6 February 2007IntroductionFor the period 1970 to 2006, we examined the total returns (dividend income and price appreciation) of the Big Six Canadian banks relative to the S&P/TSX Bank Index, to determine if mean reversion was a significant phenomenon when it came to bank performance. Broadly speaking, we conclude that mean reversion did produce incremental returns, although