Stock price volatility and fundamental value: evidence from Central and Eastern European countries

• Authors: Gajdka Jerzy , Pietraszewski Piotr
• Languages of publication: EN

Abstracts

EN

The paper deals with the problem of the discrepancy between fundamental values of shares in the stock market and their market prices. In particular it discusses the problem of the excessive volatility of stock prices compared with changes in their fundamental value determined as the present value of dividends paid by the company. The results of research on this issue for the US market initiated and popularized by Robert Shiller provided strong arguments against the hypothesis of capital market efficiency stating that stock prices immediately account for any new information affecting the fundamental value of assets. This problem has been studied neither for the Polish stock market nor for other post-communist countries in Central and Eastern Europe. The paper presents preliminary results of research into these stock markets.

Keywords

EN

present value model; fundamental value; efficient market hypothesis; CEE; countries

• Publisher: Uniwersytet Ekonomiczny w Poznaniu
• Journal: Economics and Business Review
• Year: 2017
• Volume: 3(17)
• Issue: 4
• Pages: 28-46

Dates

published

2017-12-20

Contributors

author

Gajdka Jerzy

• University of Lodz, Department of Industrial Economics and Capital Markets, Rewolucji 1905 r. 41, 90-214 Lodz, Poland

author

Pietraszewski Piotr

• University of Lodz, Department of Industrial Economics and Capital Markets, Rewolucji 1905 r. 41, 90-214 Lodz, Poland.

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Identifiers

DOI

10.18559/ebr.2017.4.2