A study on mean reversion in stock returns and P/E ratio: Evidence and implications for years 2003 to 2012 in the Philippine Stock Exchange
Date of Publication
2014
Document Type
Bachelor's Thesis
Degree Name
Bachelor of Science in Management of Financial Institutions
Subject Categories
Finance and Financial Management
College
Ramon V. Del Rosario College of Business
Department/Unit
Financial Management
Thesis Adviser
Alddon Ang
Defense Panel Member
;"
Junnette A. Perez
Kenneth Yumang
Tyrone Panzer Chan Pao
"
Abstract/Summary
The stock market has always been the place that a lot of business minded people have monitored and analyzed throughout the years. One of the methods that is continuously being studied by market experts to predict the movement of the stock market is through the theory of mean reversion. This paper aims to further examine the existence of mean reversion in the Philippines, if there is. In order to accomplish this goal, the researchers gathered data from the Philippine Stock Exchange and Technostock. The period covered by the researchers is from 2003 to 2012, considering 15 listed companies in the Philippine Stock Exchange through the model of yearly stock returns. However, when tested using the P/E ratio, mean reversion appears to exist.
Abstract Format
html
Language
English
Format
Accession Number
TU21266
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
97, [13] leaves ; 28 cm.
Keywords
Stock exchanges--Philippines
Recommended Citation
Go, J., Lopez, J. D., Nerison, T. D., & Siahingco, D. T. (2014). A study on mean reversion in stock returns and P/E ratio: Evidence and implications for years 2003 to 2012 in the Philippine Stock Exchange. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/8996
