Une analyse temps-fréquences des cycles financiers

Christophe Boucher () and Bertrand Maillet

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: This paper studies the role of fluctuations in the aggregate price-earning ratio at different time-scales, for predicting stock returns and exploring the channels through which returns are forecasted. Using U.S. quartely data, we find that cycles in the price-earning ratio are strong and better predictors of future returns than the aggregate price-earning ratio and several other popular forecasting variables. The proposed method, based on a wavelet multi-scaling analysis, explicitly accounts for the variations at different time scales in the expected cash-flow growth and expected returns.

Keywords: Risk financial cycles; forecasting; wavelets; Cycles financiers; prévision; ondelettes (search for similar items in EconPapers)
Date: 2011-01
New Economics Papers: this item is included in nep-bec, nep-cba and nep-cis
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00565229
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Published in 2011

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Related works:
Journal Article: Une analyse temps-fréquences des cycles financiers (2011)
Working Paper: Une analyse temps-fréquence des cycles financiers (2011)
Working Paper: Une analyse temps-fréquences des cycles financiers (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00565229

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