https://www.erfin.org/journal/index.php/erfin <p>The journal publishes empirical studies in finance and economics. See our <a href="/journal/index.php/erfin/about/editorialPolicies#focusAndScope" target="_self">Focus and Scope</a>.</p> SGH Warsaw School of Economics, Collegium of Economic Analyses en-US Econometric Research in Finance 2451-1935 https://www.erfin.org/journal/index.php/erfin/article/view/213 <p>Employing an innovative approach based on fractional integration, this study examines the potential heterogeneity in long memory (persistence) behavior among stocks of two groups of companies listed on stock markets: those with higher price-earnings (P/E) ratios and those with lower P/E ratios. This empirical investigation offers a novel contribution to the ongoing economic literature on market efficiency and long memory dynamics, in the period spanning January 2016 to December 2022, based on Brazil's daily stock prices. The fractionally integrated parameter is used to check long memory and, for both returns and volatility, the results reveal that P/E ratios alone do not significantly influence the degree of persistence, as both groups display similar long memory patterns. Notably, the occurrence of persistent volatility is more attributable to external shocks, such as the COVID-19 crisis, than to valuation metrics, such as the P/E ratio. Furthermore, the stock market's degree of (in)efficiency is time-varying and exhibits mean reversion (i.e., it is transient), indicating transitory inefficiencies.</p> Edson Zambon Monte Ricardo Ramalhete Moreira ##submission.copyrightStatement## http://creativecommons.org/licenses/by/4.0 2025-09-11 2025-09-11 10 1 1 24 10.33119/ERFIN.2025.10.1.1