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International Earnings To Price Ratio Convergence: Evidence From The European Union

Author

Listed:
  • Nicholas Apergis
  • Christis Hassapis
  • Christina Christou
  • Steve Johnson

Abstract

This paper investigates whether any pattern of convergence of international earnings-to-price ratios that exist for a sample of 19 European Union (EU) countries over the period 1994-2012 can be detected through the methodology of Phillips and Sul (2007). This methodology is based on a general form of a nonlinear time varying factor model and allows for cross sectional heterogeneity as well as for different transitional time paths towards equilibrium. The results show that such a convergence is not present. Next, the study aims at detecting any potential factors supporting the pattern of divergence. The empirical findings reveal that such divergence patterns mainly reflect divergence in economic factors

Suggested Citation

  • Nicholas Apergis & Christis Hassapis & Christina Christou & Steve Johnson, 2015. "International Earnings To Price Ratio Convergence: Evidence From The European Union," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 9(5), pages 37-55.
    • Handle: RePEc:ibf:ijbfre:v:9:y:2015:i:5:p:37-55
    as

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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Earnings-Price Ratios; Club Convergence; Clustering Procedure; European Markets;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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