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dc.contributor.authorWeigand, Robert A.; Irons, Roberten_US
dc.dateJanuary 2006en_US
dc.date.accessioned2014-11-14en_US
dc.date.accessioned2018-11-02T14:38:09Z
dc.date.available2014-11-14en_US
dc.date.available2018-11-02T14:38:09Z
dc.identifier.otherSchool of Business Working Paper Series; No. 63en_US
dc.identifier.urihttps://wuir.washburn.edu/handle/10425/200
dc.description.abstractWe show that the way investors use the "Fed Model" to benchmark the earnings yield on stocks to the 10-year T-note yield has resulted in these two series becoming cointegrated over time. The market earnings yield and its reciprocal, the market P/E ratio, become nonstationary and develop a cointegrating relationship with the yield on the 10-year T-note as the correlation between these two series abruptly increases (ca. 1960). A nonstationary market P/E ratio will no longer display mean-reverting behavior, implying that high P/E ratios and the low expected return on equities that accompany high-P/E environments could persist for an extended period.en_US
dc.format.mediumPDFen_US
dc.language.isoEngen_US
dc.publisherWashburn University, School of Businessen_US
dc.subjectBond yieldsen_US
dc.subjectCointegrationen_US
dc.subjectFed modelen_US
dc.subjectMean reversionen_US
dc.subjectP/e ratiosen_US
dc.subjectPrice/Earnings ratiosen_US
dc.titleWill The Market P/E Ratio Revert Back To Average?en_US
dc.typeWorking paperen_US
washburn.identifier.cdm134en_US
washburn.identifier.oclc63543281en_US
washburn.source.locationen_US


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