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Facolta: Economia
Corso: Economia delle istituzioni e dei mercati finanziari
Anteprima dell’appunto:
( THE PRICE – EARNINGS EFFECT )
The purpose of this paper is to determine empirically whether the investment performance of a common stock is related to their price-earnings ratios (P/E).
In an efficient capital market, securities prices fully reflect available information in a rapid and unbiased fashion and thus provide unbiased estimates of the underlying values. While there is substantial empirical evidence supporting the efficient market hypothesis many still question its validity. If price-earnings ratio is an indicator of the future investment performance of a security, proponents of the price-ratio hypothesis claim that low P/E securities outperform high P/E stocks.
The paper offers an attempt to explore the former relationship (low P/E, high return) in the Italian Stocks Market over the period 1996-2004. The data base used represents over 100 industrial firms which actually traded on Piazza Affari Market. Beginning with 1996, the price-earnings ratio of every sample security was computed. These ratios were ranked and four portfolios were formed.
Then appropriate measures of portfolios performance, developed by Jensen and Sharpe, were calculated. The risk measure used for each security was the systematic risk, that is the beta coefficient by the Capital Asset Pricing Model.
The main result of this study is that securities with middle price-earnings ratio outperform both market and securities with low or high P/E ratio: so the price-ratio hypothesis is not proved in the Italian Market.
The statistic tests applied, both parametric and not parametric, cannot fully remove doubts that a casual component affected the computation of the findings shown.
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