Mean Reversion of the Ibovespa Price-Earnings Ratios

Q3 Business, Management and Accounting

Latin American Business Review Pub Date : 2020-08-08 DOI:10.1080/10978526.2020.1787177

D. Amorim, Marcos Antônio de Camargos, Aureliano A. Bressan

引用次数: 1

Abstract

Abstract This paper presents a method for constructing price-earnings ratios (P/Es) for the Brazilian stock market. The objective was to assess whether the P/E ratios exhibit mean reversion, in addition to assessing whether there is a long-run equilibrium relationship between the stock price index and the earnings per share index used in calculating the valuation ratios. The bounds testing approach to cointegration evidenced that the time series of these indexes are cointegrated. Using the ADF, KPSS, and Lee–Strazicich unit root tests, evidence of mean reversion was found in the series of one of the proposed P/E ratios.

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Ibovespa市盈率的均值回归

摘要本文提出了一种构建巴西股市市盈率的方法。除了评估股价指数和用于计算估值比率的每股收益指数之间是否存在长期均衡关系外，目的是评估市盈率是否表现出均值回归。协整的边界检验方法证明了这些指标的时间序列是协整的。使用ADF、KPSS和Lee–Strazicich单位根检验，在其中一个建议的P/E比率的序列中发现了均值回归的证据。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Latin American Business Review Business, Management and Accounting-Business and International Management

CiteScore

2.40

自引率

0.00%

发文量

期刊介绍： Latin American Business Review is a quarterly, refereed journal which facilitates the exchange of information and new ideas between academics, business practitioners, public policymakers, and those in the international development community. Special features of the journal will keep you current on various teaching, research, and information sources. These activities all focus on the business and economic environment of the diverse and dynamic countries of the Americas.