Irrational Exuberance Reconsidered - Mathias Külpmann

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Résumé :
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.

Sommaire:
I Irrational Exuberance Reconsidered.- 1 Stock Market Overreaction and Portfolio Management ? An Interview with Barbara Rega, CFA, and Bernd Meyer, CFA.- 1.1 Fundamental Valuation, Financial Modelling, and the Cross Section of Stock Returns.- 1.2 Equity Risk Premium.- 1.3 Behavioural Finance.- 1.4 Corporate Control.- 1.5 Outlook.- 2 Scope of Analysis.- II Overshooting in the Cross Section of Stock Returns: The Winner-Loser Effect.- 3 Literature.- 3.1 Methodology.- 3.2 Market Efficiency.- 3.3 The Winner-Loser Effect: Explanations.- 3.4 A More Detailed Look at the Literature.- 3.5 Summary.- 4 Empirical Evidence for Germany.- 4.1 The Winner-Loser Hypothesis and the Dataset.- 4.1.1 Hypothesis.- 4.1.2 Dataset.- 4.2 The Standard Approach.- 4.2.1 Evidence for the Pooled Sample.- 4.2.2 Test Methodology.- 4.2.3 Evidence on a Yearly Basis.- 4.2.4 Survivorship Bias.- 4.3 Transition Matrix.- 4.4 Summary.- III Explaining the Cross Section of Stock Returns: CAPM versus Fundamentals.- 5 Explaining the Winner-Loser Effect: Theory.- 5.1 Rational Asset Pricing.- 5.2 Unexpected Changes in Fundamentals and Unexpected Returns.- 5.3 Fundamentals and Rational Asset Pricing.- 5.3.1 Preliminary Remark.- 5.3.2 A Two-Period Framework.- 5.3.3 Expected Excess Returns during the Test Period.- 5.3.4 Excess Returns during the Formation Period.- 5.3.5 Intertemporal Dependence.- 5.3.6 Final Remark and Summary.- 5.4 Summary.- 6 The CAPM and the Winner-Loser Effect.- 6.1 Explaining the Winner-Loser Effect.- 6.1.1 Hypotheses.- 6.1.2 Estimation Results.- 6.1.3 Discussion.- 6.2 Expectation Building.- 6.2.1 Theory.- 6.2.2 Hypothesis and Empirical Results.- 6.2.3 Discussion.- 6.3 Summary.- 7 Fundamentals and the Winner-Loser Effect.- 7.1 Movements in Fundamentals.- 7.1.1 Dividends.- 7.1.2 Profits.- 7.1.3 Profit Components.- 7.1.4 Summary.- 7.2 Differences between the Winner and the Loser Portfolio ? A Binary Choice Approach.- 7.2.1 Econometric Methodology.- 7.2.2 Estimation Results.- 7.2.3 Summary.- 7.3 Movements in Fundamentals and Changes in the Exposure to Systematic Risk.- 7.3.1 Hypothesis.- 7.3.2 Results.- 7.3.3 Discussion.- 7.3.4 Summary.- 7.4 Summary.- 8 Fundamentals versus Beta ? What Drives Stock Returns?.- 8.1 Fundamentals versus Beta: A Horse Race.- 8.1.1 Hypotheses.- 8.1.2 Estimation Results.- 8.1.3 Summary.- 8.2 Time Horizon and Portfolio Effects, Nonlinearities.- 8.2.1 Hypotheses.- 8.2.2 Estimation Results.- 8.2.3 Discussion.- 8.3 Summary and Outlook.- IV Corporate Control.- 9 Reversals in Stock Returns and Temporary Problems of Corporate Control.- 9.1 Problems of Corporate Control: Hypotheses.- 9.2 Estimation Results.- 9.3 Discussion.- 9.4 Summary.- Conclusion.- References.- Author Index.- About the Author.