The fact is that many researchers occasionally researched the effects, which are indicators of future stock returns, either using the index as a variable , either in conjunction with a number of other variables, such as a company's capitalization ratios etc. All surveys, which we will mention in this paper resulted in useful conclusions, which can form the basis for future research regarding the influence of the P/E ratio on stock returns. This study, whose purpose was to examine the effect of P/E ratio on stock returns, was done for three European exchanges, the stock market of Greece, Germany and England for the period from 01/04/2003-31/12/2013. The results obtained showed that the P/E ratio phenomenon exists on the stock market of Greece and on the other two stock markets.