利率分析.pdfVIP

Managerial Finance 48 Analysis of P/E Ratios and Interest Rates by Ben Amoako-Adu and Brian Smith, Professors of Finance, Clarica Financial Services Research Centre, School of Business and Economics, Wilfrid Laurier University, Water- loo, Ontario, N2L 3C5 Abstract This study analyses the relationship between P/E ratios and interest rates from early 1965 to the end of 1997. Historical Canadian data indicate that the average P/E ratio of the TSE 300 Index which was 17.17 in the 1960s and early 1970s decreased to about 8.92 in the periods of high interest rates in the late 1970s and early 1980s. However, in the late 1980s and 1990s the average P/E ratio increased to the previous levels of 17.20 when interest rates were on the decline. A similar pattern was observed for the various industry P/E ra- tios. The latest period is characterized by higher volatility compared to the previous peri- ods. The correlations between P/Es and interest rates were negative and very high, confirming the inverse relationship between P/E ratios and interest rates. A regression analysis also indicates that interest rates are inversely related to P/E ratios after control- ling for other relevant factors. This study, therefore, suggests that the low levels of inter- est rates, increased dividend payout, low corporate bond risk premium, and higher corporate earnings are the major factors which propelled equity values to their previous high levels. 1. Introduction Most studies of P/E ratios focus on identifying fundamental corporate factors which ex- plain the variations in the P/E ratios across stocks. Among the studies which use corpo- rate fundamental factors to explain cross-sectional variations in P/E ratios are Malkiel and Cragg (1970), Beaver and Morse (1978), Bartholdy (1993) and Bourgeois and Lussier (1994). Other studies, incl