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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: | , |
| 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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| 520 | |a 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. | ||
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| contents | 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. |
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| spelling | Baek, Chung VerfasserIn (DE-588)1079282734 (DE-627)840789785 (DE-576)452333334 aut, U.S. stock market P/E ratios, structural breaks, and long-term stock returns Chung Baek, Ingyu Lee, 2018, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2, 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., DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/, Aufsatz in Zeitschrift DE-206, Lee, Ingyu VerfasserIn aut, Enthalten in Journal of business economics and management Vilnius : VTGU Publ. House "Technika", 2003 19(2018), 1, Seite 110-123 Online-Ressource (DE-627)55226010X (DE-600)2400520-4 (DE-576)27798033X 2029-4433 nnns, volume:19 year:2018 number:1 pages:110-123, https://journals.vgtu.lt/index.php/JBEM/article/view/1602/1253 Verlag kostenfrei, https://doi.org/10.3846/16111699.2017.1409263 Resolving-System kostenfrei, https://doi.org/10.3846/16111699.2017.1409263 LFER, https://journals.vgtu.lt/index.php/JBEM/article/view/1602/1253 LFER, LFER 2020-04-07T00:00:00Z |
| spellingShingle | Baek, Chung, Lee, Ingyu, 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 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., Aufsatz in Zeitschrift |
| title | U.S. stock market P/E ratios, structural breaks, and long-term stock returns |
| title_auth | U.S. stock market P/E ratios, structural breaks, and long-term stock returns |
| title_full | U.S. stock market P/E ratios, structural breaks, and long-term stock returns Chung Baek, Ingyu Lee |
| title_fullStr | U.S. stock market P/E ratios, structural breaks, and long-term stock returns Chung Baek, Ingyu Lee |
| title_full_unstemmed | U.S. stock market P/E ratios, structural breaks, and long-term stock returns Chung Baek, Ingyu Lee |
| title_in_hierarchy | U.S. stock market P/E ratios, structural breaks, and long-term stock returns / Chung Baek, Ingyu Lee, |
| title_short | U.S. stock market P/E ratios, structural breaks, and long-term stock returns |
| title_sort | u s stock market p e ratios structural breaks and long term stock returns |
| topic | Aufsatz in Zeitschrift |
| topic_facet | Aufsatz in Zeitschrift |
| url | https://journals.vgtu.lt/index.php/JBEM/article/view/1602/1253, https://doi.org/10.3846/16111699.2017.1409263 |