Decomposing the earnings-to-price ratio and the cross-section of international equity-index returns
(2021)
Journal Article
Umutlu, M., Bengitöz, P., & Zaremba, A. (2021). Decomposing the earnings-to-price ratio and the cross-section of international equity-index returns. Applied Economics, 53(54), 6213-6230. https://doi.org/10.1080/00036846.2021.1937499
We examine whether components of the earnings-to-price (EP) ratio can be used to extract incremental information to better estimate future returns in the cross-section of country-industry indexes. We demonstrate that the EP components, such as lagged... Read More about Decomposing the earnings-to-price ratio and the cross-section of international equity-index returns.