A Mixed Frequency Approach for Stock Returns and Valuation Ratios

13 Pages Posted: 2 Dec 2019

See all articles by Theologos Dergiades

Theologos Dergiades

University of Macedonia - Department of International and European Studies

Costas Milas

University of Liverpool

Theodore Panagiotidis

University of Macedonia - Department of Economics

Date Written: November 17, 2019

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

JEL Classification: G1, C12; C13

Suggested Citation

Dergiades, Theologos and Milas, Costas and Panagiotidis, Theodore, A Mixed Frequency Approach for Stock Returns and Valuation Ratios (November 17, 2019). Available at SSRN: https://ssrn.com/abstract=3488578

Theologos Dergiades

University of Macedonia - Department of International and European Studies ( email )

Egnatia str. 156
Thessaloniki, 54636
Greece

Costas Milas (Contact Author)

University of Liverpool ( email )

Chatham Street
Liverpool
United Kingdom

Theodore Panagiotidis

University of Macedonia - Department of Economics ( email )

Thessaloniki, 54006
Greece

HOME PAGE: http://users.uom.gr/~tpanag/

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