Purpose – Past studies have shown that investment strategy using two popular metrics, the earnings-price ratio (EP) and book-to-market ratio (BM) enable investors to reap abnormal returns. More recent development of another ratio, economic value-added-to-market value (EVAM) can be seen as a...

Purpose – The purpose of this paper is to investigate the sources of the apparent episodic stationarity of the P/E ratio. Design/methodology/approach – The Stock–Watson procedure is used to decompose a VAR/VMA model into changes in structure and changes volatility. In theory, if the P/E...

Purpose – The purpose of this paper is to investigate the sources of the apparent episodic stationarity of the P/E ratio. Design/methodology/approach – The Stock–Watson procedure is used to decompose a VAR/VMA model into changes in structure and changes volatility. In theory, if the P/E...

Purpose – Past studies have shown that investment strategy using two popular metrics, the earnings‐price ratio (EP) and book‐to‐market ratio (BM) enable investors to reap abnormal returns. More recent development of another ratio, economic value‐added‐to‐market value (EVAM) can be...