Barnhart, Scott W.; Giannetti, Antoine - In: Journal of Empirical Finance 16 (2009) 1, pp. 70-86
We examine the predictive ability of earnings-price ratios or yields for the S&P 500 index. We decompose the aggregate earnings-price ratio into its positive and negative components ("winners" vs "losers") and find that the negative component has the most predictive ability. We also find that...