Abstract

This paper presents a method for constructing price-earnings ratios (P/Es) for the Brazilian stock market. The objective was to assess whether the P/E ratios exhibit mean reversion, in addition to assessing whether there is a long-run equilibrium relationship between the stock price index and the earnings per share index used in calculating the valuation ratios. The bounds testing approach to cointegration evidenced that the time series of these indexes are cointegrated. Using the ADF, KPSS, and Lee–Strazicich unit root tests, evidence of mean reversion was found in the series of one of the proposed P/E ratios.

中文翻译：

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Ibovespa市盈率的均值回归

摘要

本文提出了一种构建巴西股票市盈率（P / E）的方法。除了评估在计算估值比率时所使用的股票价格指数与每股收益指数之间是否存在长期均衡关系之外，目的还在于评估市盈率是否表现出均值回归。协整的边界检验方法证明了这些指数的时间序列是协整的。使用ADF，KPSS和Lee–Strazicich单位根检验，在一系列建议的P / E比中发现均值回归的证据。