© 2004

Irrational Exuberance Reconsidered

The Cross Section of Stock Returns


  • State-of-the-art introduction to the controversy between behavioural finance and rational asset pricing


Part of the Springer Finance book series (FINANCE)

Table of contents

  1. Front Matter
    Pages I-XII
  2. Irrational Exuberance Reconsidered

  3. Overshooting in the Cross Section of Stock Returns: The Winner-Loser Effect

    1. Front Matter
      Pages 37-37
    2. Mathias Külpmann
      Pages 39-52
    3. Mathias Külpmann
      Pages 53-76
  4. Explaining the Cross Section of Stock Returns: CAPM versus Fundamentals

    1. Front Matter
      Pages 77-77
    2. Mathias Külpmann
      Pages 79-102
    3. Mathias Külpmann
      Pages 103-119
    4. Mathias Külpmann
      Pages 121-151
  5. Corporate Control

    1. Front Matter
      Pages 183-183
    2. Mathias Külpmann
      Pages 205-211
  6. Back Matter
    Pages 213-230

About this book


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 monograph presents a framework to evaluate whether the stock market is in line with underlying fundamentals. This new and revised edition offers an up to date introduction to the controversy between rational asset pricing and behavioural finance. Empirical evidence of stock market overreaction are investigated within the paradigms of rational asset pricing and behavioural finance. Although this monograph will not promise the reader to become a millionaire, it offers a road to obtain a deeper understanding of the forces which drive stock returns. It should be of interest to anyone interested in what drives performance in the stock market.


Asset Pricing Behavioural Finance Finance Portfolio Portfolio Management Stock Market Performance linear optimization

Authors and affiliations

  1. 1.BerlinGermany

Bibliographic information

  • Book Title Irrational Exuberance Reconsidered
  • Book Subtitle The Cross Section of Stock Returns
  • Authors Mathias Külpmann
  • Series Title Springer Finance
  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 2004
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Hardcover ISBN 978-3-540-14007-8
  • Softcover ISBN 978-3-642-05726-7
  • eBook ISBN 978-3-540-24765-4
  • Series ISSN 1616-0533
  • Edition Number 2
  • Number of Pages XII, 230
  • Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
  • Additional Information Originally published as Volume 511 in the series: Lecture Notes in Economics and Mathematical Systems with the title: Stock Market Overreaction and Fundamental Valuation
  • Topics Finance, general
    Quantitative Finance
    Macroeconomics/Monetary Economics//Financial Economics
  • Buy this book on publisher's site
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From the reviews of the second edition:

"This book provides a highly stimulating contribution to the controversial discussion on stock return predictability, combining theory, thorough empirical analysis and feedback from security analysts." Günter Franke, Professor of International Finance, Chairman of the Center of Finance and Econometrics, University of Konstanz

"Irrational Exuberance Reconsidered takes a look at current turmoils in the stock market and provides an up to date discussion of the underlying issues." Harris Schlesinger, Professor of Finance and Frank Park Samford Chair of Insurance, University of Alabama

"State of the art analysis and new insights into the interaction between fundamentals and the stock market. Anybody interested in stock market overreaction should have a look." Winfried Pohlmeier, Professor of Economics and Econometrics, Research Professor at the Center of European Economic Research (ZEW)

"Compelling and intriguing: an interesting read for academics and practitioners alike. Current outlook: A strong buy." Dieter Hess, Professor of Finance, Hochschule für Bankwirtschaft, Frankfurt

"Combining academic research with practical experience, this book offers a new concept of a research monograph." Erik Lüders, Professor of Finance, Université Laval, Québec, and Visiting Scholar, Leonard N. Stern School of Business, New York University

"The present monograph investigates the so-called Winner-Loser Effect (WLE) and the questions, whether it may occur in rational pricing theory or is due to irrational behavior … . In my view, this book on finance has impact on the modeling … . Furthermore, the introductory review is from my understanding nice … . each unit within the monograph has an own introduction, outline and summary and can be read independently … . In conclusion, an interesting start for further research." (Andreas Bartel, Zentralblatt MATH, Vol. 1089 (15), 2006)