Stock Market Overreaction and Fundamental Valuation

Stock Market Overreaction and Fundamental Valuation

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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 book investigates recent evidence of reversals in the cross section of stock returns. The surprising finding of this monograph is that reversals in stock returns are parallelled by movements in fundamentals. Outperformance in the stock market is driven by outperformance in corporate earnings. This monograph analyses this effect and provides background reasoning both from a theoretical and from an empirical point of view. The reader will pursue the question whether capital markets are efficient and thereby obtain a deeper understanding of the relationship between stock returns and underlying fundamentals.(Thomas Kuhn)5a#39; The winner-loser effect is an anomaly in the stock market: Stocks which have un- derperformed the market (the aquot;loseraquot; stocks) outperform the market subsequently. Stocks which have outperformed the market (the aquot; winneraquot;anbsp;...


Title:Stock Market Overreaction and Fundamental Valuation
Author: Matthias Külpmann
Publisher:Springer Verlag - 2002
ISBN-13:

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