A mixed frequency approach for stock returns and valuation ratios



Dergiades, Theologos, Milas, KC ORCID: 0000-0002-9789-384X and Panagiotidis, Theodore
(2020) A mixed frequency approach for stock returns and valuation ratios. Economics Letters, 187. p. 108861.

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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.

Item Type: Article
Uncontrolled Keywords: Stock Index Returns; Valuation Ratios; MF-VAR; Impulse Response Analysis
Depositing User: Symplectic Admin
Date Deposited: 26 Nov 2019 10:07
Last Modified: 15 Mar 2024 20:46
DOI: 10.1016/j.econlet.2019.108861
Related URLs:
URI: https://livrepository.liverpool.ac.uk/id/eprint/3062428