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According to the Author, and contrary to popular believe, there is no evidence for a relation between P/E and future returns.
You can read the full-article (published five years ago) in the following link:
Forbes Link
The Author also mentions a paper he wrote in 2000 on the subject in The Journal of Portfolio Management. Please find hereby the reference and abstract of this paper:
Cognitive Biases in Market Forecasts
Kenneth L. Fisher; Meir Statman
THE JOURNAL OF PORTFOLIO MANAGEMENT
Fall 2000
Will the DJIA soar to 36,000 or plummet to 3,600? The desire to know the future is so strong that it blinds us to the fallibility of forecasts. The authors find that P/E ratios and dividend yields provide no help in forecasting one or two-year stock returns, and even ten-year forecasts are far from reliable. They trace the belief that P/E ratios and dividend yields provide reliable forecasts of returns to cognitive errors and discuss statistical and organizational remedies.
Journal Link
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