Using an Autoregressive Model to Predict the Price-to-Earnings Ratio and Develop an Investment Strategy
Posted on September 10, 2021
In a previous post, we highlighted an article that showed how useful accounting numbers are. In this post, we will present a concrete example of an application of accounting numbers in portfolio management. Reference showed that the Price-to-Earnings ratio is a mean-reverting process, and it can be accurately estimated …