The Shiller CAPE Ratio: A New Look

Siegel, Jeremy J.

doi:10.2469/faj.v72.n3.1

Cited by 48 publications

(15 citation statements)

References 10 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…As such, the S&P500 index is used as the measure of global market risk in this study. This also ensures the CAPE calculation is consistent with prior studies (Lleo and Ziemba, 2016;Siegel, 2016). As observed in Figure 5, episodes of equity market turmoil -as identified by PSY in the CAPE time series -are concentrated around two major market downturns.…”

Section: Stock Market Risksupporting

confidence: 65%

Gold as a Financial Instrument

2020

View full text Add to dashboard Cite

In this paper, we explore the effectiveness of gold as a hedging and safe haven instrument for a variety of market risks. Rather than confining the analysis to specific countries, we treat gold as a global asset and apply the novel Phillips, Shi and Yu (2015a,b) methodology to identify extreme price movements. This method accounts for both the level and speed of changes in price dynamics that better characterises periods of abnormally high risks. We find that gold is a strong safe haven for stock, European sovereign, and oil inflation market risks. We also show that gold is a strong hedge to inflationary and currency risks. We demonstrate that gold had exhibited safe haven properties during the 2020 Covid-19 crisis, and highlight the importance of considering explosive behaviour in identifying periods of risk.

show abstract

Section: Stock Market Risksupporting

confidence: 65%

Gold as a Financial Instrument

2020

View full text Add to dashboard Cite

show abstract

“…Many authors have modified Shiller's original method to compute CAPE. Two notable contributions in this area include Asness () and Siegel ().…”

mentioning

confidence: 99%

Shiller's CAPE: Market Efficiency and Risk

Dimitrov

Jain

2018

The Financial Review

View full text Add to dashboard Cite

Robert Shiller shows that Cyclically Adjusted Price to Earnings Ratio (CAPE) is strongly associated with future long‐term stock returns. This is often interpreted as evidence of market inefficiency. We present two findings contrary to such an interpretation. First, if markets are efficient, stock returns should be higher than the risk‐free rate. We find that even when CAPE is in its ninth decile, future 10‐year stock returns, on average, are higher than future returns on 10‐year U.S. Treasurys. Thus, the results are largely consistent with market efficiency. Second, consistent with a risk–return tradeoff, we find that CAPE is negatively associated with future stock market volatility.

show abstract

“…Shiller's cyclically adjusted P/E (CAPE) is a variant of the P/E that takes a 10-year average of earnings as the basis for looking at current pricing levels (see Siegel 2016). The popularity of the P/E comes from its focus on earnings.…”

Section: Relative Valuation and Market Multiplesmentioning

confidence: 99%

Equity Valuation: Science, Art, or Craft?

FabozziFrank

FocardiSergio

JonasCaroline

2017

View full text Add to dashboard Cite

The CFA Institute Research Foundation is a not-for-profit organization established to promote the development and dissemination of relevant research for investment practitioners worldwide. Neither the Research Foundation, CFA Institute, nor the publication's editorial staff is responsible for facts and opinions presented in this publication. This publication reflects the views of the author(s) and does not represent the official views of the CFA Institute Research Foundation.

show abstract

The Shiller CAPE Ratio: A New Look

Cited by 48 publications

References 10 publications

Gold as a Financial Instrument

Gold as a Financial Instrument

Shiller's CAPE: Market Efficiency and Risk

Equity Valuation: Science, Art, or Craft?

Contact Info

Product

Resources

About