Relações entre índices preço-lucro e retornos dos títulos públicos

Abstract

The ratios P/E1 and P/E10 or the cyclically adjusted price-to-earnings ratio are widely disseminated in the literature based on the U.S. stock market. This paper develops a method to construct P/E ratios for the Brazilian stock market. The purpose of this paper is to analyze the long-term relationships between both P/E1 and P/E10 and interest rates corresponding to the returns of treasury bonds, in order to test the Fed Model. In general, the period considered was from December 2004 to June 2018. Autoregressive distributed lags models were estimated, which can be represented as conditional error correction models. Results show significant long-term relationships between both P/E1 and P/E10 and the relevant interest rates, suggesting that the Fed Model is in line with the behavior of the Brazilian financial market.