Irrational Exuberance Reconsidered

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.