Fractional Cointegration of Voting and Non-Voting Shares

dc.contributor.author	Dittmann, Ingolf	de
dc.date.accessioned	2004-12-06T18:38:07Z
dc.date.available	2004-12-06T18:38:07Z
dc.date.issued	1998	de
dc.description.abstract	Voting and non-voting shares of ten German companies are analyzed for fractional cointegration. It turns out that seven pairs of price series are fractionally cointegrated, which means that for each pair there is a linear combination of the two series that is a long-memory process. If two stocks are fractionally cointegrated, future returns of at least one of the stocks can be predicted by past prices. This contradicts the weak form of the efficient market hypothesis. A simple trading strategy is proposed and analyzed; it leads to considerable excess returns in two out-of-sample evaluations.	en
dc.format.extent	205156 bytes
dc.format.extent	706688 bytes
dc.format.mimetype	application/pdf
dc.format.mimetype	application/postscript
dc.identifier.uri	http://hdl.handle.net/2003/4824
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-2876
dc.language.iso	en	de
dc.publisher	Universitätsbibliothek Dortmund	de
dc.subject	efficient market hypothesis	en
dc.subject	fractional cointegration	en
dc.subject	non-voting shares	en
dc.subject	preferred stocks	en
dc.subject	voting premium	en
dc.subject.ddc	310	de
dc.title	Fractional Cointegration of Voting and Non-Voting Shares	en
dc.type	Text	de
dc.type.publicationtype	report	en
dcterms.accessRights	open access

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