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Canadian stock market multiples and their predictive content

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  • Deaves, Richard
  • Miu, Peter
  • Barry White, C.

Abstract

A substantial variation in the Canadian E/P ratio can be explained by a combination of the lagged level of the E/P along with variability in logical explanatory factors. Moreover E/P ratios have a predictable component, both in the short-term and longer-term. On the other hand, short-term stock market returns are unpredictable. But, consistent with U.S. evidence, longer-term returns are predictable, especially when one conditions on the dividend yield.

Suggested Citation

  • Deaves, Richard & Miu, Peter & Barry White, C., 2008. "Canadian stock market multiples and their predictive content," International Review of Economics & Finance, Elsevier, vol. 17(3), pages 457-466.
    • Handle: RePEc:eee:reveco:v:17:y:2008:i:3:p:457-466
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    References listed on IDEAS

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    Cited by:

    1. Chen, Sichong, 2012. "The predictability of aggregate Japanese stock returns: Implications of dividend yield," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 284-304.

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