A study on mean reversion in stock returns and P/E ratio: Evidence and implications for years 2003 to 2012 in the Philippine Stock Exchange

• Main Authors: Go, Jayne Z., Lopez, Jomina Claudia D., Nerison, Tiffany Ann D., Siahingco, Dominique T.S
• Format: text
• Language: English
• Published: Animo Repository 2014
• Subjects: Stock exchanges > Philippines; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/8996
• Institution: De La Salle University

The stock market has always been the place that a lot of business minded people have monitored and analyzed throughout the years. One of the methods that is continuously being studied by market experts to predict the movement of the stock market is through the theory of mean reversion. This paper aims to further examine the existence of mean reversion in the Philippines, if there is. In order to accomplish this goal, the researchers gathered data from the Philippine Stock Exchange and Technostock. The period covered by the researchers is from 2003 to 2012, considering 15 listed companies in the Philippine Stock Exchange through the model of yearly stock returns. However, when tested using the P/E ratio, mean reversion appears to exist.