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Title: A mixed frequency approach for stock returns and valuation ratios
Authors: Dergiades, Theologos
Milas, Costas
Panagiotidis, Theodore
Type: Article
Subjects: FRASCATI::Social sciences::Economics and Business::Finance
FRASCATI::Social sciences::Economics and Business::Econometrics
Keywords: Stock index returns
Valuation ratios
Impulse response analysis
Issue Date: 1-Feb-2020
Source: Economics Letters
Volume: 187
First Page: 108861
Abstract: We employ a Mixed-Frequency VAR to study the effect of four valuation ratios (the price–dividend ratio, the price–earnings ratio, the Cyclically Adjusted Price Earnings Ratio and the Total Return Cyclically Adjusted Price Earnings Ratio) on the US stock market. We quantify the interaction between high and low frequency data. We show that all valuation ratios (observed at a monthly frequency) significantly affect stock market returns (observed at a daily frequency) at both long and short horizons.
ISSN: 0165-1765
Other Identifiers: 10.1016/j.econlet.2019.108861
Appears in Collections:Department of Economics
Department of International and European Studies

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