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Mean Reversion-Effekte auf dem deutschen Aktienmarkt : Statistische Analysen der Entwicklung des DAX-KGV

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  • Albrecht, Peter
  • Kantar, Cemil
  • Xiao, Yanying

Abstract

This paper investigates mean reversion effects in the German stock market. Recent studies have shown that stock prices tend to follow random walks over short horizons while there is empirical evidence for a mean-reverting behavior over long horizons. Considering fundamental values, we examine mean reversion in the price/earnings ratio of the German blue-chip index DAX for different time horizons to be able to compare the relative strength of the corresponding mean reversion effects.

Suggested Citation

  • Albrecht, Peter & Kantar, Cemil & Xiao, Yanying, 2004. "Mean Reversion-Effekte auf dem deutschen Aktienmarkt : Statistische Analysen der Entwicklung des DAX-KGV," Papers 04-08, Sonderforschungsbreich 504.
    • Handle: RePEc:mnh:spaper:2737
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    File URL: https://madoc.bib.uni-mannheim.de/2737/1/dp04_08.pdf
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    1. Pierre Perron & Serena Ng, 1996. "Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties," Review of Economic Studies, Oxford University Press, vol. 63(3), pages 435-463.
    2. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    3. 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.
    4. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
    5. John Y. Campbell & Luis M. Viceira, 1999. "Consumption and Portfolio Decisions when Expected Returns are Time Varying," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 114(2), pages 433-495.
    6. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
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    Cited by:

    1. Goecke, Oskar, 2013. "Sparprozesse mit kollektivem Risikoausgleich - Backtesting," Forschung am ivwKöln 7/2013, Technische Hochschule Köln – University of Applied Sciences, Institute for Insurance Studies.

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