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https://ruomo.lib.uom.gr/handle/7000/1012| 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 MF-VAR 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. |
| URI: | https://doi.org/10.1016/j.econlet.2019.108861 https://ruomo.lib.uom.gr/handle/7000/1012 |
| ISSN: | 0165-1765 |
| Other Identifiers: | 10.1016/j.econlet.2019.108861 |
| Appears in Collections: | Department of Economics Department of International and European Studies |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Economics Leters.pdf | 1,16 MB | Adobe PDF | View/Open |
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