Une analyse temps-fréquences des cycles financiers

Christophe Boucher and Bertrand Maillet

Revue économique, 2011, vol. 62, issue 3, 441-450

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. Classification JEL : C22, G12, G17.

JEL-codes: C22 G12 G17 (search for similar items in EconPapers)
Date: 2011
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Related works:
Working Paper: Une analyse temps-fréquence des cycles financiers (2011)
Working Paper: Une analyse temps-fréquences des cycles financiers (2011)
Working Paper: Une analyse temps-fréquences des cycles financiers (2011)
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