Irrational Exuberance Reconsidered: The Cross Section of Stock Returns (Springer Finance)

Does the stock market overreact? Recent capital market turbulences have cast doubt whether the behaviour of stock markets is in line with rational investor behaviour. This monograph presents a framework to evaluate whether the stock market is in line with underlying fundamentals. This new and revised edition offers an up to date introduction to the controversy between rational asset pricing and behavioural finance. Empirical evidence of stock 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 stock returns. It should be of interest to anyone interested in what drives performance in the stock market. Does the stock market overreact? Recent capital market turbulences have cast doubt whether the behaviour of stock markets is in line with rational investor behaviour. To which extent stock returns are predictable is the question at the heart of the controversy between the paradigms of rational asset pricing and behavioural finance. This new and revised edition discusses the empirical evidence from both perspectives. Theory and empirical analysis are blended with feedback from security analysts to offer a road towards a deeper understanding of the underlying forces to drive performance in the stock market. In his book "Irrational Exuberance" Robert Shiller offered an analysis of the US stock market in 2000. The focus of his book was the level of the stock market, which he thought to be overvalued at the time. This monograph offers a complementary analysis of the cross section of stock returns. Front Matter....Pages I-XII Front Matter....Pages 1-2 Stock Market Overreaction and Portfolio Management — An Interview with Barbara Rega, CFA, and Bernd Meyer, CFA....Pages 3-30 Scope of Analysis....Pages 31-36 Front Matter....Pages 37-37 Literature....Pages 39-52 Empirical Evidence for Germany....Pages 53-76 Front Matter....Pages 77-77 Explaining the Winner-Loser Effect: Theory....Pages 79-102 The CAPM and the Winner-Loser Effect....Pages 103-119 Fundamentals and the Winner-Loser Effect....Pages 121-151 Fundamentals versus Beta — What Drives Stock Returns?....Pages 153-181 Front Matter....Pages 183-183 Reversals in Stock Returns and Temporary Problems of Corporate Control....Pages 185-204 Conclusion....Pages 205-211 Back Matter....Pages 213-230

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.

Irrational Exuberance Reconsidered: Stock Market Overreaction and Portfolio Management - An Interview with Barbara Rega, CFA, and Bernd Meyer, CFA Scope of Analysis Overshooting in the Cross Section of Stock Returns: The Winner-Loser Effect: Literature Empirical Evidence for Germany Explaining the Cross Section of Stock Returns: CAPM versus Fundamentals: Explaining the Winner-Loser Effect: Theory The CAPM and the Winner-Loser Effect Fundamentals and the Winner-Loser Effect Fundamentals versus Beta - What Drives Stock Returns? Corporate Control: Reversals in Stock Returns and Temporary Problems of Corporate Control Conclusion. Mathias Kulpmann presents a framework to evaluate whether the stock market is in line with underlying fundamentals. Empirical evidence of stock market overreaction are investigated within the paradigms of rational asset pricing and behavioural finance.