Koutmos, Dimitrios - In: International Journal of Computational Economics and … 2 (2012) 3/4, pp. 223-237
This paper examines the time-series relation between the price-earnings (P/E) multiple and market volatility for the G-7 markets. If investors are risk-averse agents and demand a higher required rate of return to take on more risk, then we should expect P/E to be inversely related to volatility....
