An empirical analysis of mean reversion of the S&P 500’s P/E ratios
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DOI: 10.1007/s12197-010-9145-8
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Cited by:
- Boucher, C. & Jasinski, A. & Tokpavi, S., 2023. "Conditional mean reversion of financial ratios and the predictability of returns," Journal of International Money and Finance, Elsevier, vol. 137(C).
- Durusu-Ciftci, Dilek & Ispir, M. Serdar & Kok, Dundar, 2019. "Do stock markets follow a random walk? New evidence for an old question," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 165-175.
- Yipeng Yang & Allanus Tsoi, 2016. "A Level Set Analysis and A Nonparametric Regression on S&P 500 Daily Return," IJFS, MDPI, vol. 4(1), pages 1-24, February.
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More about this item
Keywords
P/E Ratios; S&P Ratios; Mean Reversion; Nonlinear Unit Root Tests; G14; C4;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
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