The analysis of stock returns in the London Stock Exchange in the context of the cyclical adjusted price to earnings ratio signals

Waleed Alshaer
This thesis aimed to analyse the signalling capability of the Cyclically Adjusted Price to Earnings (CAPE) ratio and to analyse the performance of asset pricing models in the context of different market sentiments, as highlighted by the CAPE ratio. The behaviour of stock returns in the light of different asset pricing models is evaluated and compared in different subsamples classified as under priced, fairly priced and overpriced markets. The two main models used in this...
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