Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Portfolio Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Portfolio Management

The Journal of Portfolio Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Primary Article

Will Valuation Ratios Revert to Historical Means?

John B. Carlson, Eduard A. Pelz and Mark E. Wohar
The Journal of Portfolio Management Summer 2002, 28 (4) 23-35; DOI: https://doi.org/10.3905/jpm.2002.319851
John B. Carlson
An economic advisor at the Federal Reserve Bank of Cleveland Research Department in Cleveland (OH 44101).
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: john.b.carlson@clev.frb.org
Eduard A. Pelz
A senior economic research analyst at the Federal Reserve Bank of Cleveland Research Department in Cleveland (OH 44101).
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: eduard.a.pelz@clev.frb.org
Mark E. Wohar
A professor of economics at the University of Nebraska at Omaha in Omaha (NE 68182).
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: mwohar@unomaha.edu
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Abstract

Stock market valuation ratios such as dividend-price and price-earnings ratios are at extreme levels by historical standards. Simple mean reversion theory suggests that either equity prices must fall substantially, or earnings and dividends must accelerate sharply, or some combination of these events must happen. Of course, the means of valuation ratios could have changed. To assess the likelihood of means changes, the authors perform break point tests on the means of the valuation ratios and find empirical evidence of breaks. They also review alternative explanations for structural change in the ratios. Although no single explanation may be convincing by itself, when the evidence is taken together with empirical evidence of structural change, the authors conclude that the means have changed. They estimate that the mean of the dividend-price ratio has dropped to somewhere between 1% and 2%, and the mean of the price-earnings ratio has risen to somewhere between 20 and 25, perhaps even higher.

  • © 2002 Pageant Media Ltd

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Portfolio Management
Vol. 28, Issue 4
Summer 2002
  • Table of Contents
  • Index by author
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Will Valuation Ratios Revert to Historical Means?
(Your Name) has sent you a message from The Journal of Portfolio Management
(Your Name) thought you would like to see the The Journal of Portfolio Management web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Will Valuation Ratios Revert to Historical Means?
John B. Carlson, Eduard A. Pelz, Mark E. Wohar
The Journal of Portfolio Management Jul 2002, 28 (4) 23-35; DOI: 10.3905/jpm.2002.319851

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Will Valuation Ratios Revert to Historical Means?
John B. Carlson, Eduard A. Pelz, Mark E. Wohar
The Journal of Portfolio Management Jul 2002, 28 (4) 23-35; DOI: 10.3905/jpm.2002.319851
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • If You Had Everything Computationally…
  • Corporate Bond Portfolio Analysis
  • The Symmetric Downside-Risk Sharpe Ratio
Show more Primary Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • News
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 0095-4918 | E-ISSN: 2168-8656

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies