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Une analyse temps-fréquences des cycles financiers
| Content Provider | Semantic Scholar |
|---|---|
| Author | Boucher, Christophe Maillet, Bertrand |
| Copyright Year | 2011 |
| Abstract | 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 |
| File Format | PDF HTM / HTML |
| DOI | 10.3917/reco.623.0441 |
| Alternate Webpage(s) | http://boucher.univ.free.fr/publis/RECO_623_0441.pdf |
| Alternate Webpage(s) | https://halshs.archives-ouvertes.fr/halshs-00565229/document |
| Alternate Webpage(s) | https://doi.org/10.3917/reco.623.0441 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |