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Az árfolyam-nyereség arány szerepe a német tőzsdei kereskedésben
[The role of the P/E ratio in trading on the German stock exchange]

Author

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  • Till, Gábor

Abstract

A pénzügyi elemzések fő mozgatórugója a hozamok előrejelzése. A hozam és a kockázat kapcsolatának megragadására rendkívül elterjedt módszer a historikus hozamokat extrapoláló CAPM. A modell összefüggéseit azonban az empirikus adatok nem validálják, így a részvényhozamok mögött rejlő valós adatgeneráló folyamat máig vitatott. A tanulmány arra a kérdésre keresi a választ, hogy a frankfurti értékpapírpiacon az egyik legrégibb eredményességi mutató, az árfolyam-nyereség arány magyarázóereje szignifikáns-e a hozamok előrejelzésében. A tanulmány hipotéziseinek teszteléséhez portfóliószintű egy- és kétváltozós sorba rendezést hajtunk végre, továbbá Fama-MacBeth-féle részvényszintű regressziókkal teszteljük az értékalapú mutató prediktív erejét. Az empirikus vizsgálatok végeredménye szerint az árfolyam-nyereség arányon alapuló stratégia a teljes mintát (1990-2020) és eltérő strukturális töréseket figyelembe véve is erősen szignifikáns abnormális hozamot generál. Az ár-érték arányt megragadó mutató magyarázóereje a Fama-French-féle és a Carhart-féle faktorokra kontrollálva is robusztus marad, sőt tovább javítja a tradicionális modellek illeszkedését. Journal of Economic Literature (JEL) kód: G11, G12.

Suggested Citation

  • Till, Gábor, 2021. "Az árfolyam-nyereség arány szerepe a német tőzsdei kereskedésben [The role of the P/E ratio in trading on the German stock exchange]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 815-846.
    • Handle: RePEc:ksa:szemle:1985
    DOI: 10.18414/KSZ.2021.7-8.815
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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