A mixed frequency approach for stock returns and valuation ratios

Theologos Dergiades, Costas Milas and Theodore Panagiotidis

Economics Letters, 2020, vol. 187, issue C

Abstract: We employ a Mixed-Frequency VAR to study the effect of four valuation ratios (the price–dividend ratio, the price–earnings ratio, the Cyclically Adjusted Price Earnings Ratio and the Total Return Cyclically Adjusted Price Earnings Ratio) on the US stock market. We quantify the interaction between high and low frequency data. We show that all valuation ratios (observed at a monthly frequency) significantly affect stock market returns (observed at a daily frequency) at both long and short horizons.

Keywords: Stock index returns; Valuation ratios; MF-VAR; Impulse response analysis (search for similar items in EconPapers)
JEL-codes: C12 C13 G1 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (4)

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Working Paper: A Mixed Frequency Approach for Stock Returns and Valuation Ratios (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:187:y:2020:i:c:s0165176519304355

DOI: 10.1016/j.econlet.2019.108861

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