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- W76227488 abstract "We employ a two-regime, nonlinear model and more than a century of data to investigate the time series behavior of the S&P Composite price-dividends and price-earnings ratios. On average, the ratios display continuation fuelled by investor sentiment in bull markets but they adjust toward their long run equilibrium levels in bear markets. Impulse response functions that simulate the effect of a shock on the future evolution of the ratios exhibit the typical underreaction-overreaction time profile postulated in behavioral theories of stock returns. Our results indicate that market sentiment plays an important role in the short run but fundamentals dominate in the long run ensuring overall mean-reversion." @default.
- W76227488 created "2016-06-24" @default.
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- W76227488 date "2003-01-01" @default.
- W76227488 modified "2023-09-23" @default.
- W76227488 title "Continuation and Reversal in US Valuation Ratios" @default.
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- W76227488 doi "https://doi.org/10.2139/ssrn.421260" @default.
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