33
Views
0
CrossRef citations to date
0
Altmetric
Original Article

E/P Mean Reversion-Based Strategies for Investment Practice: Evidence from the Taiwan Market

, , &
Pages 117-131 | Published online: 07 Dec 2014
 

Abstract

This study investigates the mean-reversion characteristic in firm-specific earnings-to-price ratios (E/P ratios) and proposes two investment strategies based on the detected mean-reversion feature of E/P ratios. We differentiate our study from other research by analyzing firm-specific time series data. The results show that, of the 1,156 nonfinancial firms listed on the Taiwan Stock Exchange and the GraTai Securities Market in 2006, the E/P ratios of 516 (about 45 percent) exhibited a tendency of mean reversion. Furthermore, we design two investment strategies based on the detected mean-reversion feature of firm-specific E/P ratios and report the dominant investment performances.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.