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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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    References listed on IDEAS

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    6. 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.
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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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