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Price-earnings (P/E) ratios, the most popular value proxy, are widely reported using the last four quarters of earnings. Corresponding earnings yields (4QEP) have significantly greater return predictability than lagged earnings yields or current book-to-market ratios. The weekly pattern in returns is consistent with individual investor trading activity. The return predictability is robust to fundamentals, price momentum, earnings momentum, volume, and liquidity. 4QEP relates positively to volume and liquidity and negatively to idiosyncratic volatility. Financial data providers only report P/E ratios for stocks with positive earnings; 4QEP only predicts returns, volume, and liquidity for these stocks.
Moore, Jordan, "P/E Ratios and Value Investor Attention" (2017). Rohrer College of Business Faculty Scholarship. 3.
Moore, J. S. (2017). P/E Ratios and Value Investor Attention. Social Science Research Network, June 8, 2017.