The shiller CAPE ratio: : a new look

• Autores: Jeremy J. Siegel
• Localización: Financial analysts journal, ISSN-e 0015-198X, Vol. 72, Nº. 3, 2016, págs. 41-50
• Idioma: inglés
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• Resumen

  • Robert Shiller’s cyclically adjusted price–earnings ratio, or CAPE ratio, has served as one of the best forecasting models for long-term future stock returns. But recent forecasts of future equity returns using the CAPE ratio may be overpessimistic because of changes in the computation of GAAP earnings (e.g., “mark-to-market” accounting) that are used in the Shiller CAPE model. When consistent earnings data, such as NIPA (national income and product account) after-tax corporate profits, are substituted for GAAP earnings, the forecasting ability of the CAPE model improves and forecasts of US equity returns increase significantly.