An Empirical Analysis of Changes in Valuation Multiples and their Predictive Ability for Future Equity Returns
Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
This paper analyses if changes in valuation multiples have a predictive ability for future equity returns in the US stock market. The result of this paper suggests that both an increase and a decrease in valuation multiples have a predictive ability for future equity returns. The relationship between changes in valuation and future equity returns seem to be stronger for stocks that have decreased in valuation. The main study has been conducted on the Russell 3000 sample and evaluated over a sampling period covering January 3, 2000 to December 31, 2014.
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IdentifiersURN: urn:nbn:se:uu:diva-255353OAI: oai:DiVA.org:uu-255353DiVA: diva2:821953
Bengtsson, Niklas, Biträdande universitetslektor