Money and Finance
- Andrew Smithers On Using Cape In International Markets
Link to Part 1: The problem of Cape and non-US markets (part 1) The cyclically adjusted price-earnings ratio (Cape) has become well known as a way of valuing the US equity market. Its moderate success in this role has led to the assumption that the...
- John Mauldin: Forecast 2014: The Capes Of Hope
Link to: Forecast 2014: The CAPEs of HopeLast week's letter focused on my 2014 outlook for the US stock market and highlighted an important, but controversial, measure for long-term valuations: Robert Shiller's cyclically adjusted price-to-earnings...
- Gundlach Dips Toe Into Uber-indexing
DoubleLine Capital LP plans to launch an enhanced index fund based on Yale University economics professor Robert Shiller's cyclically adjusted price-earnings ratio. The DoubleLine Shiller Enhanced CAPE Fund will use derivatives — either swaps...
- Hussman Weekly Market Comment: The Siren's Song Of The Unfinished Half-cycle
Given the extent and maturity of the recent advance, it’s very odd that analysts are now beginning to toss around the idea that stocks have entered a secular bull market. These notions are based not on the level of valuation, nor on the duration of...
- Value Matters: Predictability Of Stock Index Returns
Found via World Beta. Abstract:The aim of this paper is twofold: to provide a theoretical framework and to give further empirical support to Shiller's test of the appropriateness of prices in the stock market based on the Cyclically Adjusted Price...
Money and Finance
Does the Shiller-PE Work in Emerging Markets?
Found via Mebane Faber.
We test the reliability of the Cyclically Adjusted PE (CAPE) or Shiller PE as a forecasting and valuation tool for 35 countries including emerging markets. We find that the Shiller-PE is a reliable long-term valuation indicator for developed and emerging markets and we use the indicator to predict real returns on local equity markets over the next five to ten years.
- Andrew Smithers On Using Cape In International Markets
Link to Part 1: The problem of Cape and non-US markets (part 1) The cyclically adjusted price-earnings ratio (Cape) has become well known as a way of valuing the US equity market. Its moderate success in this role has led to the assumption that the...
- John Mauldin: Forecast 2014: The Capes Of Hope
Link to: Forecast 2014: The CAPEs of HopeLast week's letter focused on my 2014 outlook for the US stock market and highlighted an important, but controversial, measure for long-term valuations: Robert Shiller's cyclically adjusted price-to-earnings...
- Gundlach Dips Toe Into Uber-indexing
DoubleLine Capital LP plans to launch an enhanced index fund based on Yale University economics professor Robert Shiller's cyclically adjusted price-earnings ratio. The DoubleLine Shiller Enhanced CAPE Fund will use derivatives — either swaps...
- Hussman Weekly Market Comment: The Siren's Song Of The Unfinished Half-cycle
Given the extent and maturity of the recent advance, it’s very odd that analysts are now beginning to toss around the idea that stocks have entered a secular bull market. These notions are based not on the level of valuation, nor on the duration of...
- Value Matters: Predictability Of Stock Index Returns
Found via World Beta. Abstract:The aim of this paper is twofold: to provide a theoretical framework and to give further empirical support to Shiller's test of the appropriateness of prices in the stock market based on the Cyclically Adjusted Price...