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

Peter Albrecht, Cemil Kantar and Yanying Xiao

No 04-08, Papers from Sonderforschungsbreich 504

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.

Keywords: Mean; Reversion (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://madoc.bib.uni-mannheim.de/2737/1/dp04_08.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mnh:spaper:2737

Access Statistics for this paper

More papers in Papers from Sonderforschungsbreich 504 Contact information at EDIRC.
Bibliographic data for series maintained by Katharina Rautenberg ().