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Une analyse temps-fréquence des cycles financiers

Christophe Boucher () and Bertrand Maillet
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Christophe Boucher: CES - Centre d'économie de la Sorbonne - CNRS - Centre National de la Recherche Scientifique - UP1 - Université Panthéon-Sorbonne

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 us quarterly 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.

Date: 2011
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Published in Revue Economique, Presses de Sciences Po, 2011, 62 (3), pp.441-450. <10.3917/reco.623.0441>

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