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Une analyse temps-fréquences des cycles financiers

Christophe Boucher () and Bertrand Maillet

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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 (search for similar items in EconPapers)
JEL-codes: C22 G12 G17 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-rmg
Date: 2011-01
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ftp://mse.univ-paris1.fr/pub/mse/CES2011/11003.pdf (application/pdf)

Related works:
Journal Article: Une analyse temps-fréquences des cycles financiers (2011) Downloads
Working Paper: Une analyse temps-fréquence des cycles financiers (2011)
Working Paper: Une analyse temps-fréquences des cycles financiers (2011) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:11003

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