Mean reverting properties of price-to-fundamental ratios.

• Main Authors: Cheong, Mei Yan., Mohamad Furqan Hidayat., Liew, Ivan Yuong Narn.
• Other Authors: Bachmann, Ralph
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Equity
• Online Access: http://hdl.handle.net/10356/10487
• Institution: Nanyang Technological University

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...