Stock market overreaction and fundamental valuation: theory and empirical evidence
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Berlin [u.a.]
Springer
2002
|
| Schriftenreihe: | Lecture notes in economics and mathematical systems
511 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | IX, 198 S. graph. Darst. |
| ISBN: | 3540426701 |
Internformat
MARC
| LEADER | 00000nam a22000008cb4500 | ||
|---|---|---|---|
| 001 | BV013915817 | ||
| 003 | DE-604 | ||
| 005 | 20020702 | ||
| 007 | t | ||
| 008 | 010911s2002 gw d||| |||| 00||| eng d | ||
| 016 | 7 | |a 962323462 |2 DE-101 | |
| 020 | |a 3540426701 |9 3-540-42670-1 | ||
| 035 | |a (OCoLC)48144376 | ||
| 035 | |a (DE-599)BVBBV013915817 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 044 | |a gw |c DE | ||
| 049 | |a DE-384 |a DE-739 |a DE-29 |a DE-N2 |a DE-473 |a DE-19 |a DE-521 |a DE-83 |a DE-11 |a DE-188 | ||
| 050 | 0 | |a HG4636.K95 2002 | |
| 082 | 0 | |a 332.63/222 |2 21 | |
| 082 | 0 | |a 332.63/222 21 | |
| 084 | |a QK 620 |0 (DE-625)141668: |2 rvk | ||
| 084 | |a SI 853 |0 (DE-625)143200: |2 rvk | ||
| 084 | |a 17 |2 sdnb | ||
| 100 | 1 | |a Külpmann, Mathias |d 1970- |e Verfasser |0 (DE-588)123157943 |4 aut | |
| 245 | 1 | 0 | |a Stock market overreaction and fundamental valuation |b theory and empirical evidence |c Matthias Külpmann |
| 264 | 1 | |a Berlin [u.a.] |b Springer |c 2002 | |
| 300 | |a IX, 198 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Lecture notes in economics and mathematical systems |v 511 | |
| 650 | 7 | |a Effecten |2 gtt | |
| 650 | 7 | |a Koersen |2 gtt | |
| 650 | 7 | |a Tijdreeksen |2 gtt | |
| 650 | 4 | |a Capital assets pricing model | |
| 650 | 4 | |a Rate of return | |
| 650 | 4 | |a Investment analysis | |
| 650 | 0 | 7 | |a Kursanomalie |0 (DE-588)4380086-5 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Aktienkurs |0 (DE-588)4141736-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Aktienmarkt |0 (DE-588)4130931-5 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kapitalmarkttheorie |0 (DE-588)4137411-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Capital-Asset-Pricing-Modell |0 (DE-588)4121078-5 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Überreaktionseffekt |0 (DE-588)4371817-6 |2 gnd |9 rswk-swf |
| 651 | 7 | |a Deutschland |0 (DE-588)4011882-4 |2 gnd |9 rswk-swf | |
| 689 | 0 | 0 | |a Aktienkurs |0 (DE-588)4141736-7 |D s |
| 689 | 0 | 1 | |a Kapitalmarkttheorie |0 (DE-588)4137411-3 |D s |
| 689 | 0 | |5 DE-604 | |
| 689 | 1 | 0 | |a Deutschland |0 (DE-588)4011882-4 |D g |
| 689 | 1 | 1 | |a Aktienmarkt |0 (DE-588)4130931-5 |D s |
| 689 | 1 | 2 | |a Kursanomalie |0 (DE-588)4380086-5 |D s |
| 689 | 1 | 3 | |a Überreaktionseffekt |0 (DE-588)4371817-6 |D s |
| 689 | 1 | 4 | |a Capital-Asset-Pricing-Modell |0 (DE-588)4121078-5 |D s |
| 689 | 1 | |5 DE-604 | |
| 830 | 0 | |a Lecture notes in economics and mathematical systems |v 511 |w (DE-604)BV000000036 |9 511 | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009521519&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-009521519 | ||
Datensatz im Suchindex
| _version_ | 1804128759138222080 |
|---|---|
| adam_text | Contents
Introduction 1
I The Winner Loser Effect 7
1 Literature 9
1.1 Methodology 9
1.2 Market Efficiency 10
1.3 The Winner Loser Effect: Explanations 11
1.4 A More Detailed Look at the Literature 16
1.5 Summary 22
2 Empirical Evidence for Germany 23
2.1 The Winner Loser Hypothesis and the Dataset 23
2.1.1 Hypothesis 23
2.1.2 Dataset 25
2.2 The Standard Approach 29
2.2.1 Evidence for the Pooled Sample 30
2.2.2 Test Methodology 35
2.2.3 Evidence on a Yearly Basis 39
2.2.4 Survivorship Bias 40
2.3 Transition Matrix 41
2.4 Summary 45
VIII Contents
II Explaining the Winner Loser Effect: CAPM versus
Fundamentals 47
3 Explaining the Winner Loser Effect: Theory 49
3.1 Rational Asset Pricing 50
3.2 Unexpected Changes in Fundamentals and Unexpected Returns 55
3.3 Fundamentals and Rational Asset Pricing 58
3.3.1 Preliminary Remark 59
3.3.2 A Two Period Framework 60
3.3.3 Expected Express Returns during the Test Period 63
3.3.4 Excess Returns during the Formation Period 66
3.3.5 Intertemporal Dependence 69
3.3.6 Final Remark and Summary 71
3.4 Summary 72
4 The CAPM and the Winner Loser Effect 75
4.1 Explaining the Winner Loser Effect 76
4.1.1 Hypotheses 77
4.1.2 Estimation Results 78
4.1.3 Discussion 82
4.2 Expectation Building 84
4.2.1 Theory 84
4.2.2 Hypothesis and Empirical Results 86
4.2.3 Discussion 88
4.3 Summary 90
5 Fundamentals and the Winner Loser Effect 93
5.1 Movements in Fundamentals 94
5.1.1 Dividends 96
5.1.2 Profits 98
5.1.3 Profit Components 101
5.1.4 Summary 106
5.2 Differences between the Winner and the Loser Portfolio A
Binary Choice Approach 107
5.2.1 Econometric Methodology 108
5.2.2 Estimation Results 109
5.2.3 Summary 116
5.3 Movements in Fundamentals and Changes in the Exposure to
Systematic Risk 116
Contents IX
5.3.1 Hypothesis 117
5.3.2 Results 118
5.3.3 Discussion 121
5.3.4 Summary 123
5.4 Summary 123
6 Fundamentals versus Beta What Drives Stock Returns? 125
6.1 Fundamentals versus Beta: A Horse Race 126
6.1.1 Hypotheses 126
6.1.2 Estimation Results 129
6.1.3 Summary 136
6.2 Time Horizon and Portfolio Effects, Nonlinearities 137
6.2.1 Hypotheses 137
6.2.2 Estimation Results 139
6.2.3 Discussion 145
6.3 Summary and Outlook 149
III Explaining Cycles in Fundamentals 153
7 Reversals in Stock Returns and Temporary Problems of
Corporate Control 155
7.1 Problems of Corporate Control: Hypotheses 155
7.2 Estimation Results 160
7.3 Discussion 166
7.4 Summary 167
Conclusion 175
References 183
Author Index 191
Index 195
|
| any_adam_object | 1 |
| author | Külpmann, Mathias 1970- |
| author_GND | (DE-588)123157943 |
| author_facet | Külpmann, Mathias 1970- |
| author_role | aut |
| author_sort | Külpmann, Mathias 1970- |
| author_variant | m k mk |
| building | Verbundindex |
| bvnumber | BV013915817 |
| callnumber-first | H - Social Science |
| callnumber-label | HG4636 |
| callnumber-raw | HG4636.K95 2002 |
| callnumber-search | HG4636.K95 2002 |
| callnumber-sort | HG 44636 K95 42002 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 620 SI 853 |
| ctrlnum | (OCoLC)48144376 (DE-599)BVBBV013915817 |
| dewey-full | 332.63/222 332.63/22221 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/222 332.63/222 21 |
| dewey-search | 332.63/222 332.63/222 21 |
| dewey-sort | 3332.63 3222 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02636nam a22006498cb4500</leader><controlfield tag="001">BV013915817</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20020702 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">010911s2002 gw d||| |||| 00||| eng d</controlfield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">962323462</subfield><subfield code="2">DE-101</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">3540426701</subfield><subfield code="9">3-540-42670-1</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)48144376</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV013915817</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">gw</subfield><subfield code="c">DE</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-384</subfield><subfield code="a">DE-739</subfield><subfield code="a">DE-29</subfield><subfield code="a">DE-N2</subfield><subfield code="a">DE-473</subfield><subfield code="a">DE-19</subfield><subfield code="a">DE-521</subfield><subfield code="a">DE-83</subfield><subfield code="a">DE-11</subfield><subfield code="a">DE-188</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG4636.K95 2002</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.63/222</subfield><subfield code="2">21</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.63/222 21</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 620</subfield><subfield code="0">(DE-625)141668:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SI 853</subfield><subfield code="0">(DE-625)143200:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">17</subfield><subfield code="2">sdnb</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Külpmann, Mathias</subfield><subfield code="d">1970-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)123157943</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Stock market overreaction and fundamental valuation</subfield><subfield code="b">theory and empirical evidence</subfield><subfield code="c">Matthias Külpmann</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Berlin [u.a.]</subfield><subfield code="b">Springer</subfield><subfield code="c">2002</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">IX, 198 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Lecture notes in economics and mathematical systems</subfield><subfield code="v">511</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Effecten</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Koersen</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Tijdreeksen</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Capital assets pricing model</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Rate of return</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Investment analysis</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kursanomalie</subfield><subfield code="0">(DE-588)4380086-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Aktienkurs</subfield><subfield code="0">(DE-588)4141736-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Aktienmarkt</subfield><subfield code="0">(DE-588)4130931-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kapitalmarkttheorie</subfield><subfield code="0">(DE-588)4137411-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Capital-Asset-Pricing-Modell</subfield><subfield code="0">(DE-588)4121078-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Überreaktionseffekt</subfield><subfield code="0">(DE-588)4371817-6</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="651" ind1=" " ind2="7"><subfield code="a">Deutschland</subfield><subfield code="0">(DE-588)4011882-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Aktienkurs</subfield><subfield code="0">(DE-588)4141736-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Kapitalmarkttheorie</subfield><subfield code="0">(DE-588)4137411-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Deutschland</subfield><subfield code="0">(DE-588)4011882-4</subfield><subfield code="D">g</subfield></datafield><datafield tag="689" ind1="1" ind2="1"><subfield code="a">Aktienmarkt</subfield><subfield code="0">(DE-588)4130931-5</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="2"><subfield code="a">Kursanomalie</subfield><subfield code="0">(DE-588)4380086-5</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="3"><subfield code="a">Überreaktionseffekt</subfield><subfield code="0">(DE-588)4371817-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="4"><subfield code="a">Capital-Asset-Pricing-Modell</subfield><subfield code="0">(DE-588)4121078-5</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">Lecture notes in economics and mathematical systems</subfield><subfield code="v">511</subfield><subfield code="w">(DE-604)BV000000036</subfield><subfield code="9">511</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009521519&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-009521519</subfield></datafield></record></collection> |
| geographic | Deutschland (DE-588)4011882-4 gnd |
| geographic_facet | Deutschland |
| id | DE-604.BV013915817 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:54:21Z |
| institution | BVB |
| isbn | 3540426701 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009521519 |
| oclc_num | 48144376 |
| open_access_boolean | |
| owner | DE-384 DE-739 DE-29 DE-N2 DE-473 DE-BY-UBG DE-19 DE-BY-UBM DE-521 DE-83 DE-11 DE-188 |
| owner_facet | DE-384 DE-739 DE-29 DE-N2 DE-473 DE-BY-UBG DE-19 DE-BY-UBM DE-521 DE-83 DE-11 DE-188 |
| physical | IX, 198 S. graph. Darst. |
| publishDate | 2002 |
| publishDateSearch | 2002 |
| publishDateSort | 2002 |
| publisher | Springer |
| record_format | marc |
| series | Lecture notes in economics and mathematical systems |
| series2 | Lecture notes in economics and mathematical systems |
| spelling | Külpmann, Mathias 1970- Verfasser (DE-588)123157943 aut Stock market overreaction and fundamental valuation theory and empirical evidence Matthias Külpmann Berlin [u.a.] Springer 2002 IX, 198 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Lecture notes in economics and mathematical systems 511 Effecten gtt Koersen gtt Tijdreeksen gtt Capital assets pricing model Rate of return Investment analysis Kursanomalie (DE-588)4380086-5 gnd rswk-swf Aktienkurs (DE-588)4141736-7 gnd rswk-swf Aktienmarkt (DE-588)4130931-5 gnd rswk-swf Kapitalmarkttheorie (DE-588)4137411-3 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Überreaktionseffekt (DE-588)4371817-6 gnd rswk-swf Deutschland (DE-588)4011882-4 gnd rswk-swf Aktienkurs (DE-588)4141736-7 s Kapitalmarkttheorie (DE-588)4137411-3 s DE-604 Deutschland (DE-588)4011882-4 g Aktienmarkt (DE-588)4130931-5 s Kursanomalie (DE-588)4380086-5 s Überreaktionseffekt (DE-588)4371817-6 s Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Lecture notes in economics and mathematical systems 511 (DE-604)BV000000036 511 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009521519&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Külpmann, Mathias 1970- Stock market overreaction and fundamental valuation theory and empirical evidence Lecture notes in economics and mathematical systems Effecten gtt Koersen gtt Tijdreeksen gtt Capital assets pricing model Rate of return Investment analysis Kursanomalie (DE-588)4380086-5 gnd Aktienkurs (DE-588)4141736-7 gnd Aktienmarkt (DE-588)4130931-5 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Überreaktionseffekt (DE-588)4371817-6 gnd |
| subject_GND | (DE-588)4380086-5 (DE-588)4141736-7 (DE-588)4130931-5 (DE-588)4137411-3 (DE-588)4121078-5 (DE-588)4371817-6 (DE-588)4011882-4 |
| title | Stock market overreaction and fundamental valuation theory and empirical evidence |
| title_auth | Stock market overreaction and fundamental valuation theory and empirical evidence |
| title_exact_search | Stock market overreaction and fundamental valuation theory and empirical evidence |
| title_full | Stock market overreaction and fundamental valuation theory and empirical evidence Matthias Külpmann |
| title_fullStr | Stock market overreaction and fundamental valuation theory and empirical evidence Matthias Külpmann |
| title_full_unstemmed | Stock market overreaction and fundamental valuation theory and empirical evidence Matthias Külpmann |
| title_short | Stock market overreaction and fundamental valuation |
| title_sort | stock market overreaction and fundamental valuation theory and empirical evidence |
| title_sub | theory and empirical evidence |
| topic | Effecten gtt Koersen gtt Tijdreeksen gtt Capital assets pricing model Rate of return Investment analysis Kursanomalie (DE-588)4380086-5 gnd Aktienkurs (DE-588)4141736-7 gnd Aktienmarkt (DE-588)4130931-5 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Überreaktionseffekt (DE-588)4371817-6 gnd |
| topic_facet | Effecten Koersen Tijdreeksen Capital assets pricing model Rate of return Investment analysis Kursanomalie Aktienkurs Aktienmarkt Kapitalmarkttheorie Capital-Asset-Pricing-Modell Überreaktionseffekt Deutschland |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009521519&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV000000036 |
| work_keys_str_mv | AT kulpmannmathias stockmarketoverreactionandfundamentalvaluationtheoryandempiricalevidence |