The P/E Multiple and Market Volatility

199659 citationsJournal Article

Authors

Alex Kane · International Pacific University

Alan J. Marcus · Wallace Community College

Abstract

The market multiple is highly sensitive to volatility. These empirical results suggest that a permanent 1 percentage point increase in market volatility can, over time, reduce the market multiple by 1.8. Hence, any assessment of market valuation that ignores the impact of volatility on the equilibrium P/E is inherently perilous.

Topics & Keywords

Complex Systems and Time Series Analysis Financial Risk and Volatility Modeling Financial Markets and Investment Strategies

Publication Details

Published in: Financial Analysts Journal

Volume 52, Issue 4, pp. 16-24

DOI: 10.2469/faj.v52.n4.2007

Field-Weighted Citation Impact: 0.00

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The P/E Multiple and Market Volatility

Authors

Abstract

Topics & Keywords

Publication Details