Une analyse temps-fréquences des cycles financiers.

This paper studies the role of fluctuations in the aggregate price-earning ratio at different time-scales, for predicting stock returns and exploring the channels through which returns are forecasted. Using U.S. quartely data, we find that cycles in the price-earning ratio are strong and better predictors of future returns than the aggregate price-earning ratio and several other popular forecasting variables. The proposed method, based on a wavelet multi-scaling analysis, explicitly accounts for the variations at different time scales in the expected cash-flow growth and expected returns.