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

Author

Listed:
  • Albrecht, Peter

    (Sonderforschungsbereich 504)

  • Kantar, Cemil

    (Lehrstuhl für ABWL, Risikotheorie, Portfolio Management und Versicherungswirtschaft)

  • Xiao, Yanying

    (Lehrstuhl für ABWL, Risikotheorie, Portfolio Management und Versicherungswirtschaft)

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," Sonderforschungsbereich 504 Publications 04-08, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    • Handle: RePEc:xrs:sfbmaa:04-08
    Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
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    File URL: http://www.sfb504.uni-mannheim.de/publications/dp04-08.pdf
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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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