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An Empirical Analysis of Changes in Valuation Multiples and their Predictive Ability for Future Equity Returns
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2015 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

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.

Place, publisher, year, edition, pages
2015.
National Category
Economics
Identifiers
URN: urn:nbn:se:uu:diva-255353OAI: oai:DiVA.org:uu-255353DiVA: diva2:821953
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Available from: 2015-06-16 Created: 2015-06-16 Last updated: 2015-06-16Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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