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- W2011269894 abstract "In this paper, I study the short-term predictive ability of earnings price ratios for the S&P 500 index from 94Q3 to 02Q4. Overall, I establish that both earnings price ratios levels and changes were effective in predicting index returns. However, I also uncover that this predictive effectiveness was quite volatile over the period. This finding may be interpreted either in a rational risk premium or an investor sentiment hypothesis. To examine the economic value of market timing using earnings price ratios, I implement both unconstrained and constrained trading strategies and uncover that, while market timing ability was the exclusive source of profits for the unconstrained strategies, positive market exposure accounted for a substantial portion of constrained strategies profits." @default.
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- W2011269894 date "2007-03-01" @default.
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- W2011269894 title "The short term predictive ability of earnings-price ratios: The recent evidence (1994–2003)" @default.
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- W2011269894 doi "https://doi.org/10.1016/j.qref.2005.11.003" @default.
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