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- W3198399706 abstract "In this paper, I revisit the predictive ability of the price to earnings (PE) ratio for future returns. I provide a model of expected returns by decomposing stock price into earnings and PE ratio. While the PE ratio is modeled as a mean-reverting AR(1) process, earnings follow a linear trend. Expected model returns are strongly correlated with future returns. An increase of 1% in expected returns is associated with 0.5% higher future returns. To this end, I propose an investment strategy that chooses between equity or debt investment based on predicted expected stock returns and risk-free bond returns. My strategy avoids short-selling and outperforms a buy-and-hold portfolio of stocks." @default.
- W3198399706 created "2021-09-13" @default.
- W3198399706 creator A5089389707 @default.
- W3198399706 date "2021-01-01" @default.
- W3198399706 modified "2023-09-24" @default.
- W3198399706 title "Return Predictability using Price-to-Earnings Ratio" @default.
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- W3198399706 doi "https://doi.org/10.2139/ssrn.3910641" @default.
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