IDEAS home Printed from https://ideas.repec.org/p/zbw/sfb373/200287.html
   My bibliography  Save this paper

Winner-Loser-Effekte am deutschen Aktienmarkt

Author

Listed:
  • Daske, Stefan

Abstract

Die Veröffentlichung von DE BONDT und THALER (1985) markiert den Beginn einer intensiven wissenschaftlichen Auseinandersetzung über die Existenz, den Umfang, die Ausbeutbarkeit und die Formen von Winner-Loser-Effekten. Diese beschreiben eine beobachtete potenzielle Anomalie, nach der ein Anleger durch Investition in Aktien, die über einen gewissen Zeitraum eine deutlich geringere Rendite als der relevante Markt aufwiesen (so genannte Loseraktien, nachfolgend als Verliereraktien bezeichnet), eine Überrendite erzielen kann. Dies gilt ebenso für den Leerverkauf von Aktien, die sich besser als der jeweilige Markt entwickelt haben (so genannte Winneraktien, im Folgenden Gewinneraktien).1 Gewinneraktien werden also tendenziell zu Verliereraktien, Verliereraktien zu Gewinneraktien. POWER/LONIE (1993) meinen sogar, dass the, overreaction-effect[2] has a claim to be regarded as one of the most important anomalies investigated during the 1980s' (S. 326). Schließlich ist es jedem Durchschnittsanleger leicht möglich, Winner-Loser-Effekte gewinnbringend auszunutzen, sofern diese tatsächlich existieren. Marktineffizienzen in Form von fehlerhaften Bewertungen müssten aus theoretischer Sicht durch rational handelnde Arbitrageure ausgebeutet werden und dürften somit keinen Bestand haben. Es gibt aber eine beträchtliche Anzahl von Wissenschaftlern, die die Informationseffizienz des Kapitalmarktes und die ihr zugrunde liegende Rationalitätsannahme als wirklichkeitsfremd ansehen und dies durch psychologische und spieltheoretische Ergebnisse belegen wollen. Ziel der vorliegenden Arbeit ist es, eine Untersuchung zu langfristigen Winner-Loser-Effekten am deutschen Kapitalmarkt vorzustellen, die sich über einen längeren Untersuchungszeitraum erstreckt als bisherige deutsche Studien. Außerdem soll gezeigt werden, dass unter Berücksichtigung des Risikos von Gewinner- respektive Verliereraktien keine signifikanten Überrenditen mit den beschriebenen Handelstrategien erzielt werden konnten, obwohl bei ausschließliche r Orientierung an der Rendite Winner-Loser-Effekte auch in Deutschland zu verzeichnen sind. Zunächst werden jedoch die Erklärungsansätze für das Auftreten der langfristigen Winner-Loser-Anomalie ausführlich diskutiert. Im dritten Abschnitt wird ein detaillierter Überblick über vorliegende empirische Studien zu Winner-Loser-Effekten gegeben und anschließend die Untersuchungsmethodik für den Test auf Existenz von Winner-Loser-Effekten und damit in Zusammenhang stehende Problemfelder beleuchtet. Im fünften Abschnitt erfolgt schließlich die Darstellung der eigenen Untersuchungsergebnisse. Abschnitt sechs enthält abschließende Bemerkungen.

Suggested Citation

  • Daske, Stefan, 2002. "Winner-Loser-Effekte am deutschen Aktienmarkt," SFB 373 Discussion Papers 2002,87, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:200287
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/65290/1/727091549.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. De Long, J Bradford, et al, 1990. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, vol. 45(2), pages 379-395, June.
    2. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-273, April.
    3. De Bondt, Werner F M & Thaler, Richard H, 1990. "Do Security Analysts Overreact?," American Economic Review, American Economic Association, vol. 80(2), pages 52-57, May.
    4. Ball, Ray & Kothari, S. P., 1989. "Nonstationary expected returns : Implications for tests of market efficiency and serial correlation in returns," Journal of Financial Economics, Elsevier, vol. 25(1), pages 51-74, November.
    5. Beaver, William H. & Landsman, Wayne R., 1981. "Note on the behavior of residual security returns for winner and loser portfolios," Journal of Accounting and Economics, Elsevier, vol. 3(3), pages 233-241, December.
    6. Kryzanowski, Lawrence & Zhang, Hao, 1992. "The Contrarian Investment Strategy Does Not Work in Canadian Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(3), pages 383-395, September.
    7. Jones, Steven L., 1993. "Another look at time-varying risk and return in a long-horizon contrarian strategy," Journal of Financial Economics, Elsevier, vol. 33(1), pages 119-144, February.
    8. Alonso, Aurora & Rubio, Gonzalo, 1990. "Overreaction in the Spanish equity market," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 469-481, August.
    9. De Bondt, Werner F M & Thaler, Richard H, 1987. "Further Evidence on Investor Overreaction and Stock Market Seasonalit y," Journal of Finance, American Finance Association, vol. 42(3), pages 557-581, July.
    10. da Costa, Newton Jr., 1994. "Overreaction in the Brazilian stock market," Journal of Banking & Finance, Elsevier, vol. 18(4), pages 633-642, September.
    11. Bromann, O. & Schiereck, D. & Weber, M., 1997. "Reichtum durch (anti-)zyklische Handelsstrategien am deutschen Aktienmarkt," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 35469, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    12. Bernstein, Peter L, 1985. "Does the Stock Market Overreact? Discussion," Journal of Finance, American Finance Association, vol. 40(3), pages 806-808, July.
    13. Kevin Campbell & Robin Limmack, 1997. "Long-term over-reaction in the UK stock market and size adjustments," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 537-548.
    14. Dissanaike, Gishan, 1994. "On the computation of returns in tests of the stock market overreaction hypothesis," Journal of Banking & Finance, Elsevier, vol. 18(6), pages 1083-1094, December.
    15. De Bondt, Werner F M & Thaler, Richard, 1985. "Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    16. Schiereck, D. & Weber, M., 1995. "Zyklische und antizyklische Handelsstrategien am deutschen Aktienmarkt," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 35478, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    17. Chopra, Navin & Lakonishok, Josef & Ritter, Jay R., 1992. "Measuring abnormal performance : Do stocks overreact?," Journal of Financial Economics, Elsevier, vol. 31(2), pages 235-268, April.
    18. Stehle Richard, 1997. "Der Size-Effekt am deutschen Aktienmarkt," Zeitschrift für Bankrecht und Bankwirtschaft (ZBB) / Journal of Banking Law and Banking (JBB), RWS Verlag, vol. 9(3), pages 237-260, September.
    19. Fama, Eugene F & French, Kenneth R, 1996. "Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
    20. Conrad, Jennifer & Kaul, Gautam, 1993. "Long-Term Market Overreaction or Biases in Computed Returns?," Journal of Finance, American Finance Association, vol. 48(1), pages 39-63, March.
    21. Chan, K C, 1988. "On the Contrarian Investment Strategy," The Journal of Business, University of Chicago Press, vol. 61(2), pages 147-163, April.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, June.
    2. Olfa Chaouachi & Fatma Wy?me Ben Mrad Douagi, 2014. "Overreaction Effect in the Tunisian Stock Market," Journal of Asian Business Strategy, Asian Economic and Social Society, vol. 4(11), pages 134-140, November.
    3. Alves, Paulo & Carvalho, Luís, 2020. "Recent evidence on international stock market’s overreaction," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
    4. Gunaratne, P. S. M. & Yonesawa, Y., 1997. "Return reversals in the Tokyo Stock Exchange: A test of stock market overreaction," Japan and the World Economy, Elsevier, vol. 9(3), pages 363-384, August.
    5. Hon, Mark T. & Tonks, Ian, 2003. "Momentum in the UK stock market," Journal of Multinational Financial Management, Elsevier, vol. 13(1), pages 43-70, February.
    6. Dimitris Kenourgios & Nikolaos Pavlidis, 2005. "Individual Analysts’ Earnings Forecasts: Evidence for Overreaction in the UK Stock Market," Finance 0512011, University Library of Munich, Germany.
    7. Stuart Locke & Kartick Gupta, 2009. "Applicability of Contrarian Strategy in the Bombay Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(2), pages 165-189, May.
    8. Gaunt, Clive, 2000. "Overreaction in the Australian equity market: 1974-1997," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 375-398, July.
    9. Hisham Farag, 2015. "Long-term Overreaction, Regulatory Policies and Stock Market Anomalies: Evidence from Egypt," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(2), pages 112-139, August.
    10. Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 105-231, September.
    11. Fung, Alexander Kwok-Wah, 1999. "Overreaction in the Hong Kong stock market," Global Finance Journal, Elsevier, vol. 10(2), pages 223-230.
    12. Stephen Foerster, 2011. "Double then Nothing: Why Stock Investments Relying on Simple Heuristics May Disappoint," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 3(2), pages 115-140, September.
    13. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2012. "Reactions of the capital markets to the shocks before and during the global crisis," MPRA Paper 41540, University Library of Munich, Germany, revised 10 Jan 2012.
    14. Kiseok Nam & Sei-Wan Kim & Augustine. Arize, 2006. "Mean Reversion of Short-Horizon Stock Returns: Asymmetry Property," Review of Quantitative Finance and Accounting, Springer, vol. 26(2), pages 137-163, March.
    15. Baytas, Ahmet & Cakici, Nusret, 1999. "Do markets overreact: International evidence," Journal of Banking & Finance, Elsevier, vol. 23(7), pages 1121-1144, July.
    16. Achim Himmelmann & Dirk Schiereck & Marc Simpson & Moritz Zschoche, 2012. "Long-term reactions to large stock price declines and increases in the European stock market: a note on market efficiency," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(2), pages 400-423, April.
    17. Jones, Steven L. & Yeoman, John C., 2012. "Bias in estimating the systematic risk of extreme performers: Implications for financial analysis, the leverage effect, and long-run reversals," Journal of Corporate Finance, Elsevier, vol. 18(1), pages 1-21.
    18. Lasfer, M. Ameziane & Melnik, Arie & Thomas, Dylan C., 2003. "Short-term reaction of stock markets in stressful circumstances," Journal of Banking & Finance, Elsevier, vol. 27(10), pages 1959-1977, October.
    19. Bartholdy, Jan, 1998. "Changes in earnings-price ratios and excess returns: A case of investor over-reaction," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 237-252.
    20. Nam, Kiseok & Pyun, Chong Soo & Avard, Stephen L., 2001. "Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction," Journal of Banking & Finance, Elsevier, vol. 25(4), pages 807-824, April.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:sfb373:200287. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/sfhubde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.