This study evaluates the PE ratio as a means of predicting portfolio returns. Results indicate that the PE ratio is a good factor in predicting return and that the CAPM measure may be inadequate.
Risk, Securities, Capital Asset Pricing Model, CAPM, Rate of Return
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Peavy, III, John W. and Goodman, David A., "The Significance of Price-Earnings Ratios on Portfolio Returns" (1981). Historical Working Papers. 10.