Economics and Business Review

ISSN 2392-1641
e-ISSN 2450-0097

Poznań University of Economics - Poland

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Volume 3 (17) Number 4 pp. 28-46

Jerzy Gajdka1, Piotr Pietraszewski1

1.University of Lodz, Department of Industrial Economics and Capital Markets

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

Abstract:

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.
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pub/2017_4_28.pdf Full text available in in Adobe Acrobat format:
http://www.ebr.edu.pl/volume17/issue4/2017_4_28.pdf
Keywords: present value model, fundamental value, efficient market hypothesis, CEE countries

DOI: 10.18559/ebr.2017.4.2

For citation:

MLA Gajdka, Jerzy, and Piotr Pietraszewski. "Stock price volatility and fundamental value: evidence from Central and Eastern European countries." Economics and Business Review EBR 17.4 (2017): 28-46. DOI: 10.18559/ebr.2017.4.2
APA Gajdka, J., & Pietraszewski, P. (2017). Stock price volatility and fundamental value: evidence from Central and Eastern European countries. Economics and Business Review EBR 17(4), 28-46 DOI: 10.18559/ebr.2017.4.2
ISO 690 GAJDKA, Jerzy, PIETRASZEWSKI, Piotr. Stock price volatility and fundamental value: evidence from Central and Eastern European countries. Economics and Business Review EBR, 2017, 17.4: 28-46. DOI: 10.18559/ebr.2017.4.2