Decomposing the earnings-to-price ratio and the cross-section of international equity-index returns
| dc.contributor.author | Mehmet Umutlu | |
| dc.contributor.author | Pelin Bengitöz | |
| dc.contributor.author | Adam Zaremba | |
| dc.date.accessioned | 2025-10-06T17:50:44Z | |
| dc.date.issued | 2021 | |
| dc.description.abstract | 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 EP changes in earnings short-term momentum and long-term reversal in prices increase the accuracy of return forecasts. The EP decomposition matters in developed markets but is pointless in emerging countries. The results are robust to modifications in the methodology sub-period analyses the use of an alternative sample and remain unchanged after controlling for net share issuance size and fixed country and time effects. © 2021 Elsevier B.V. All rights reserved. | |
| dc.identifier.doi | 10.1080/00036846.2021.1937499 | |
| dc.identifier.issn | 14664283, 00036846 | |
| dc.identifier.issn | 0003-6846 | |
| dc.identifier.issn | 1466-4283 | |
| dc.identifier.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85111641743&doi=10.1080%2F00036846.2021.1937499&partnerID=40&md5=07e558773ed5315dd4f6b713e27eaa74 | |
| dc.identifier.uri | https://gcris.yasar.edu.tr/handle/123456789/9077 | |
| dc.language.iso | English | |
| dc.publisher | Routledge | |
| dc.relation.ispartof | Applied Economics | |
| dc.source | Applied Economics | |
| dc.subject | E/p Decomposition, G11, G12, G17, Index-return Predictability, International Portfolio Management, Value Effect, Decomposition Analysis, Equity, Investment, Prediction, Valuation, Wage | |
| dc.subject | decomposition analysis, equity, investment, prediction, valuation, wage | |
| dc.title | Decomposing the earnings-to-price ratio and the cross-section of international equity-index returns | |
| dc.type | Article | |
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| gdc.description.endpage | 6230 | |
| gdc.description.startpage | 6213 | |
| gdc.description.volume | 53 | |
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| gdc.oaire.sciencefields | 0502 economics and business | |
| gdc.oaire.sciencefields | 05 social sciences | |
| gdc.openalex.collaboration | International | |
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| person.identifier.scopus-author-id | Umutlu- Mehmet (26535275600), Bengitöz- Pelin (57200080577), Zaremba- Adam (37121242800) | |
| project.funder.name | Pelin Bengitöz acknowledges the financial support from the Scientific and Technological Research Council of Turkey (TUBITAK 2211-A Application No: 1649B031501594). Adam Zaremba acknowledges the financial support of the National Science Centre of Poland (Grant No: 2016/23/B/HS4/00731). | |
| publicationissue.issueNumber | 54 | |
| publicationvolume.volumeNumber | 53 | |
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