U.S. stock market P/E ratios, structural breaks, and long-term stock returns

U.S. stock market P/E ratios, structural breaks, and long-term stock returns

Our study investigates structural changes in the market P/E ratio and shows how structural changes affect long-term stock market returns. Using the cumulative sum control chart and the Bai-Perron algorithm, we identify multiple structural breakpoints in the market P/E ratio and find that those struc...

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Bibliographic Details
Main Authors: Chung Baek, Ingyu Lee
Format: Article
Language:English
Published: Vilnius Gediminas Technical University 2018-05-01
Series:Journal of Business Economics and Management
Subjects:
P/E ratio
mean-reversion
structural breakpoints
historical economic events
long-term stock returns
asymmetric returns
Online Access:https://journals.vgtu.lt/index.php/JBEM/article/view/1602

Internet

https://journals.vgtu.lt/index.php/JBEM/article/view/1602

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