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

Peter Albrecht (), Cemil Kantar () and Yanying Xiao ()
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Peter Albrecht: Sonderforschungsbereich 504, Postal: L 13, 15, D-68131 Mannheim
Cemil Kantar: Lehrstuhl für ABWL, Risikotheorie, Portfolio Management und Versicherungswirtschaft, Postal: D-68131 Mannheim
Yanying Xiao: Lehrstuhl für ABWL, Risikotheorie, Portfolio Management und Versicherungswirtschaft, Postal: D-68131 Mannheim

No 04-08, Sonderforschungsbereich 504 Publications from Sonderforschungsbereich 504, Universität Mannheim, Sonderforschungsbereich 504, University of Mannheim

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.

Pages: 16 pages
Date: 2004-04-06
Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
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