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Une analyse temps-fréquences des cycles financiers

  • Christophe Boucher

    ()

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, A.A.Advisors-QCG - ABN AMRO)

  • Bertrand Maillet

    ()

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, A.A.Advisors-QCG - ABN AMRO, EIF - Europlace Institute of Finance)

This paper studies the role of fluctuations in the aggregate price-earning ratio at different time-scales, for predicting stock returns and exploring the channels through which returns are forecasted. Using U.S. quartely data, we find that cycles in the price-earning ratio are strong and better predictors of future returns than the aggregate price-earning ratio and several other popular forecasting variables. The proposed method, based on a wavelet multi-scaling analysis, explicitly accounts for the variations at different time scales in the expected cash-flow growth and expected returns.

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Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00565229.

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Date of creation: Jan 2011
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Publication status: Published in Documents de travail du Centre d'Economie de la Sorbonne 2011.03 - ISSN : 1955-611X. 2011
Handle: RePEc:hal:cesptp:halshs-00565229
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00565229
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  1. Viviana Fernández, 2005. "The International CAPM and a wavelet-based decomposition of Value at Risk," Documentos de Trabajo 203, Centro de Economía Aplicada, Universidad de Chile.
  2. Todd E. Clark & Michael W. McCracken, 1999. "Tests of equal forecast accuracy and encompassing for nested models," Research Working Paper 99-11, Federal Reserve Bank of Kansas City.
  3. Shiller, Robert J, 1981. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," American Economic Review, American Economic Association, vol. 71(3), pages 421-36, June.
  4. John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
  5. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, 08.
  6. Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," 2006 Meeting Papers 29, Society for Economic Dynamics.
  7. McCracken, Michael W., 2007. "Asymptotics for out of sample tests of Granger causality," Journal of Econometrics, Elsevier, vol. 140(2), pages 719-752, October.
  8. Lettau, Martin & Ludvigson, Sydney & Wachter, Jessica, 2006. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," CEPR Discussion Papers 5519, C.E.P.R. Discussion Papers.
  9. Amit Goyal & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," Yale School of Management Working Papers amz2412, Yale School of Management, revised 01 Jan 2006.
  10. Yogo, Motohiro, 2008. "Measuring business cycles: A wavelet analysis of economic time series," Economics Letters, Elsevier, vol. 100(2), pages 208-212, August.
  11. Steven A. Sharpe, 2002. "Reexamining Stock Valuation and Inflation: The Implications Of Analysts' Earnings Forecasts," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 632-648, November.
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