Irrational Exuberance Reconsidered: The Cross Section of Stock Returns / Edition 2

Irrational Exuberance Reconsidered: The Cross Section of Stock Returns / Edition 2

by Mathias Kulpmann
     
 

ISBN-10: 3642057268

ISBN-13: 9783642057267

Pub. Date: 12/07/2010

Publisher: Springer Berlin Heidelberg

Mathias Külpmann presents a framework to evaluate whether the sk market is in line with underlying fundamentals. The new and revised edition offers an up to date introduction to the controversy between rational asset pricing and behavioural finance. Empirical evidence of sk market overreaction are investigated within the paradigms of rational asset pricing and

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Overview

Mathias Külpmann presents a framework to evaluate whether the sk market is in line with underlying fundamentals. The new and revised edition offers an up to date introduction to the controversy between rational asset pricing and behavioural finance. Empirical evidence of sk market overreaction are investigated within the paradigms of rational asset pricing and behavioural finance. Although this monograph will not promise the reader to become a millionaire, it offers a road to obtain a deeper understanding of the forces which drive sk returns. It should be of interest to anyone interested in what drives performance in the sk market.

Product Details

ISBN-13:
9783642057267
Publisher:
Springer Berlin Heidelberg
Publication date:
12/07/2010
Series:
Springer Finance Series
Edition description:
Softcover reprint of hardcover 2nd ed. 2004
Pages:
230
Product dimensions:
6.10(w) x 9.25(h) x 0.24(d)

Table of Contents

I Irrational Exuberance Reconsidered.- 1 Sk Market Overreaction and Portfolio Management — An Interview with Barbara Rega, CFA, and Bernd Meyer, CFA.- 1.1 Fundamental Valuation, Financial Modelling, and the Cross Section of Sk Returns.- 1.2 Equity Risk Premium.- 1.3 Behavioural Finance.- 1.4 Corporate Control.- 1.5 Outlook.- 2 Scope of Analysis.- II Overshooting in the Cross Section of Sk Returns: The Winner-Loser Effect.- 3 Literature.- 3.1 Methodology.- 3.2 Market Efficiency.- 3.3 The Winner-Loser Effect: Explanations.- 3.4 A More Detailed Look at the Literature.- 3.5 Summary.- 4 Empirical Evidence for Germany.- 4.1 The Winner-Loser Hypothesis and the Dataset.- 4.1.1 Hypothesis.- 4.1.2 Dataset.- 4.2 The Standard Approach.- 4.2.1 Evidence for the Pooled Sample.- 4.2.2 Test Methodology.- 4.2.3 Evidence on a Yearly Basis.- 4.2.4 Survivorship Bias.- 4.3 Transition Matrix.- 4.4 Summary.- III Explaining the Cross Section of Sk Returns: CAPM versus Fundamentals.- 5 Explaining the Winner-Loser Effect: Theory.- 5.1 Rational Asset Pricing.- 5.2 Unexpected Changes in Fundamentals and Unexpected Returns.- 5.3 Fundamentals and Rational Asset Pricing.- 5.3.1 Preliminary Remark.- 5.3.2 A Two-Period Framework.- 5.3.3 Expected Excess Returns during the Test Period.- 5.3.4 Excess Returns during the Formation Period.- 5.3.5 Intertemporal Dependence.- 5.3.6 Final Remark and Summary.- 5.4 Summary.- 6 The CAPM and the Winner-Loser Effect.- 6.1 Explaining the Winner-Loser Effect.- 6.1.1 Hypotheses.- 6.1.2 Estimation Results.- 6.1.3 Discussion.- 6.2 Expectation Building.- 6.2.1 Theory.- 6.2.2 Hypothesis and Empirical Results.- 6.2.3 Discussion.- 6.3 Summary.- 7 Fundamentals and the Winner-Loser Effect.- 7.1 Movements in Fundamentals.- 7.1.1 Dividends.- 7.1.2 Profits.- 7.1.3 Profit Components.- 7.1.4 Summary.- 7.2 Differences between the Winner and the Loser Portfolio — A Binary Choice Approach.- 7.2.1 Econometric Methodology.- 7.2.2 Estimation Results.- 7.2.3 Summary.- 7.3 Movements in Fundamentals and Changes in the Exposure to Systematic Risk.- 7.3.1 Hypothesis.- 7.3.2 Results.- 7.3.3 Discussion.- 7.3.4 Summary.- 7.4 Summary.- 8 Fundamentals versus Beta — What Drives Sk Returns?.- 8.1 Fundamentals versus Beta: A Horse Race.- 8.1.1 Hypotheses.- 8.1.2 Estimation Results.- 8.1.3 Summary.- 8.2 Time Horizon and Portfolio Effects, Nonlinearities.- 8.2.1 Hypotheses.- 8.2.2 Estimation Results.- 8.2.3 Discussion.- 8.3 Summary and Outlook.- IV Corporate Control.- 9 Reversals in Sk Returns and Temporary Problems of Corporate Control.- 9.1 Problems of Corporate Control: Hypotheses.- 9.2 Estimation Results.- 9.3 Discussion.- 9.4 Summary.- Conclusion.- References.- Author Index.- About the Author.

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