Mean reverting properties of price-to-fundamental ratios.
We investigate the mean reversion characteristic of three price multiplies, the Price-Earnings ratio, Price-to-Book ratio and the Price-to-Sales ratio, for five Asian countries: Singapore, Japan, Korea, Indonesia and Malaysia. We find significant mean reversion for the PE and PB ratio over a short...
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Main Authors: | Cheong, Mei Yan., Mohamad Furqan Hidayat., Liew, Ivan Yuong Narn. |
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Other Authors: | Bachmann, Ralph |
Format: | Final Year Project |
Published: |
2008
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Subjects: | |
Online Access: | http://hdl.handle.net/10356/10487 |
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Institution: | Nanyang Technological University |
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