A Mixed Frequency Approach for Stock Returns and Valuation Ratios

Theologos Dergiades, Costas Milas and Theodore Panagiotidis

Discussion Paper Series from Department of Economics, University of Macedonia

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: 2019-11, Revised 2019-11
New Economics Papers: this item is included in nep-ets and nep-fmk
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Journal Article: A mixed frequency approach for stock returns and valuation ratios (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:mcd:mcddps:2019_08

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