Baek, Chung; Lee, Ingyu - In: Journal of business economics and management 19 (2018) 1, pp. 110-123
Our study investigates structural changes in the market P/E ratio and shows how structural changes affect long-term stock market returns. Using the cumulative sum control chart and the Bai-Perron algorithm, we identify multiple structural breakpoints in the market P/E ratio and find that those...