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

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Veröffentlicht in: Journal of business economics and management 19(2018), 1, Seite 110-123
Personen und Körperschaften: Baek, Chung (VerfasserIn), Lee, Ingyu (VerfasserIn)
Titel: U.S. stock market P/E ratios, structural breaks, and long-term stock returns/ Chung Baek, Ingyu Lee
Format: E-Book-Kapitel
Sprache: Englisch
veröffentlicht:
2018
Gesamtaufnahme: : Journal of business economics and management, 19(2018), 1, Seite 110-123
, volume:19
Schlagwörter:
Quelle: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
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Zusammenfassung: 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 structural changes are significantly perceived over the long run. Unlike previous studies that do not consider structural changes, our study is the first one that shows how structural changes asymmetrically influence long-term stock returns depending on the high or low P/E period. This implies that structural changes in the market P/E ratio play an important role in explaining long-term stock returns. We propose that structural changes should be taken into account in some manner to establish the relationship between P/E ratios and long-term stock returns.
ISSN: 2029-4433
DOI: 10.3846/16111699.2017.1409263
Zugang: Open Access