This paper examines the capability of the Cyclically Adjusted Price to Earnings (CAPE) or
Shiller's P/E ratio, along with other relative valuation ratios such as the P/E and the P/BV, to …

The Shiller cyclically adjusted price/earnings (CAPE) ratio has yielded overly pessimistic
equity return forecasts for two decades, and there is a growing consensus that the CAPE …

Over the 2010s, the assets of public pension plans generated significantly higher returns
than their assumed, or actuarial, rates of return. In a sample of 69 US public plans with a …

This paper estimates a fair-value model, based on macroeconomic fundamentals, of the
Shiller Cyclically Adjusted Price-to-Earnings (CAPE) ratio. By performing a multi-country …

The relentless rise in the US stock market since its low in 2009 has been dramatic. US stock
market valuations now exceed all historical valuation levels, except for those hit at the peak …

The cyclically adjusted price-earnings ratio (CAPE) is a tool that has become widely used to
predict market returns. However, recently, deterioration in its forecast strength has surfaced …

Fluctuations in real interest rates affect every aspect of an investment program, including the
present value of the liability, as well as the returns on each asset class. We review the …

Predicting long-term equity market returns is of great importance for investors to strategically
allocate their assets. We apply machine learning methods to forecast 10-year-ahead US …

While traditional predictive regressions for stock returns using financial ratios are empirically
proven to be valuable at long-term horizons, evidence of predictability at few-month horizons …

Tactical asset allocation decisions are often based on (and justified by) macroeconomic
developments and valuation ratios. However, why should using such publicly available …