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Random Walk oder Mean Reversion?

  1. Journals
  2. Economics, Finance, Business & Management
  3. Credit and Capital Markets – Kredit und Kapital
  4. Vol. 37, Issue 2
  5. pp. 223–245

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Albrecht, P., Kantar, C. Random Walk oder Mean Reversion?. . Eine statistische Analyse des Kurs/Gewinn-Verhältnisses für den deutschen Aktienmarkt. Credit and Capital Markets – Kredit und Kapital, 37(2), 223-245. https://doi.org/10.3790/ccm.37.2.223
Albrecht, Peter and Kantar, Cemil "Random Walk oder Mean Reversion?. Eine statistische Analyse des Kurs/Gewinn-Verhältnisses für den deutschen Aktienmarkt. " Credit and Capital Markets – Kredit und Kapital 37.2, 2004, 223-245. https://doi.org/10.3790/ccm.37.2.223
Albrecht, Peter/Kantar, Cemil (2004): Random Walk oder Mean Reversion?, in: Credit and Capital Markets – Kredit und Kapital, vol. 37, iss. 2, 223-245, [online] https://doi.org/10.3790/ccm.37.2.223
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Random Walk oder Mean Reversion?

Eine statistische Analyse des Kurs/Gewinn-Verhältnisses für den deutschen Aktienmarkt

Albrecht, Peter | Kantar, Cemil

Credit and Capital Markets – Kredit und Kapital, Vol. 37 (2004), Iss. 2 : pp. 223–245

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Article Details

Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/ccm.37.2.223
Language
Multiple languages
Pages
23

Author Details

Peter Albrecht, Mannheim

Cemil Kantar, Mannheim

References

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Abstract

Random Walk or Mean Reversion? A Statistical Analysis of the Price/Earnings Ratio for the German Stock Market

The present contribution considers the question whether the random walk model or an AR(1)-process (“mean reversion”) is a better representation for the development of the price/earnings ratio of the German blue-chip index DAX. Empirical evidence for one of these alternative model hypotheses is crucial to the predictability of the underlying variable, i.e. the P/E ratio. While the random walk hypothesis implies the non-existence of a long-run “fair” value for the variable of interest, an AR(1)-process, in contrast, possesses a long-run mean and exhibits mean reverting behaviour in that it fluctuates around this constant long-run value. Both an exploratory data analysis and a set of formal statistical tests equally lead to the conclusion that the hypothesis of an AR(1)-process, in a statistical sense, better represents the investigated time series data than the random walk model. The consequences of this key result are not only discussed with respect to the predictability of the P/E ratio of the German stock market index, but also with regard to forecasts for the development of the DAX itself

Table of Contents

Section Title Page Action Price
Peter Albrecht/Cemil Kantar: Random Walk oder Mean Reversión?\rEine statistische Analyse des Kurs/Gewinn-Verhältnisses\rfür den deutschen Aktienmarkt 223
I. Einführung 223
II. Modellbildung 224
III. Die Entwicklung des DAX-KGV: Explorative Datenanalyse 228
IV. Spezifikation und Analyse der Basis-Regressionsgleichung 234
V. Einheitswurzeltests 236
VI. KPSS-Test auf Stationarität 240
VII. Anwendung: Eine DAX-Projektion 240
VIII. Zusammenfassung 242

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