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Can the Forecasts Generated from E/P Ratio and Bond Yield be Used to Beat Stock Markets?


  • Wing-Keung Wong

    () (National University of Singapore)

  • Boon-Kiat Chew

    () (Independent Economic Analysis (Holdings) Limited)

  • Douglas Sikorski

    () (National University of Singapore)


This study tests the performance of stock market forecasts derived from technical analysis by means of a specific indicator. The indicator is computed from E/P ratios and bond yields. Several stock markets are studied over a 20-year period. Two test statistics are introduced to utilize the indicator. The results show that the forecasts generated from the indicator would enable investors to escape most of the crashes and catch most of the bull runs. The trading signals provided by the indicator can generate profits that are significantly better than the buy-and-hold strategy.

Suggested Citation

  • Wing-Keung Wong & Boon-Kiat Chew & Douglas Sikorski, 2002. "Can the Forecasts Generated from E/P Ratio and Bond Yield be Used to Beat Stock Markets?," Departmental Working Papers wp0201, National University of Singapore, Department of Economics.
  • Handle: RePEc:nus:nusewp:wp0201

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    References listed on IDEAS

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    Cited by:

    1. GUORUI BIAN & MICHAEL McALEER & WING-KEUNG WONG, 2013. "Robust Estimation And Forecasting Of The Capital Asset Pricing Model," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 1-18.
    2. Wing-Keung Wong & Meher Manzur & Boon-Kiat Chew, 2003. "How rewarding is technical analysis? Evidence from Singapore stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 13(7), pages 543-551.
    3. Chang, C-L. & McAleer, M.J. & Wong, W.-K., 2018. "Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections," Econometric Institute Research Papers EI 2018-08, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

    More about this item


    Yield differential; Standardized yield differential; E/P ratio; bond yield; interest rate;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)


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