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Article

Value Investing Through the Lens of Campbell-Shiller

Jack P. Mo and Xiao Qiao
The Journal of Portfolio Management Spring 2015, 41 (3) 59-69; DOI: https://doi.org/10.3905/jpm.2015.41.3.059
Jack P. Mo
is an investment professional at P. Schoenfeld Asset Management in New York, NY.
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  • For correspondence: jackpmo@alumni.upenn.edu
Xiao Qiao
is a PhD candidate at the University of Chicago Booth School of Business in Chicago, IL.
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  • For correspondence: xqiao@uchicago.edu
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Abstract

Value investors and finance academics have different methods for forecasting returns. Value investing focuses on purchasing assets that are undervalued relative to their intrinsic values, as determined through a framework designed to quantify the potential worth of underlying cash flows or liquidated assets. The Campbell-Shiller identity is a celebrated academic formula that connects current dividend yield to future returns, dividend growth, and dividend yield. The authors expand and apply the Campbell-Shiller relationship to earnings yield and earnings growth, and demonstrate that traditional value investing and the Campbell-Shiller identity provide the same investment advice illustrate their similarities in an example with two specific securities. Using sell-side projections, the authors show that the Campbell-Shiller formula is an effective screening tool that can be used in tandem with traditional value analysis.

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The Journal of Portfolio Management: 41 (3)
The Journal of Portfolio Management
Vol. 41, Issue 3
Spring 2015
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Value Investing Through the Lens of Campbell-Shiller
Jack P. Mo, Xiao Qiao
The Journal of Portfolio Management Apr 2015, 41 (3) 59-69; DOI: 10.3905/jpm.2015.41.3.059

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Value Investing Through the Lens of Campbell-Shiller
Jack P. Mo, Xiao Qiao
The Journal of Portfolio Management Apr 2015, 41 (3) 59-69; DOI: 10.3905/jpm.2015.41.3.059
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  • Article
    • Abstract
    • THE CAMPBELL-SHILLER IDENTITY
    • MAKING CAMPBELL-SHILLER OPERATIONAL
    • CONNECTION TO VALUE INVESTING
    • A CASE STUDY IN ACTION3
    • CAMPBELL-SHILLER AS A SCREENING TOOL FOR VALUE INVESTING
    • CONCLUSION
    • APPENDIX I
    • APPENDIX II
    • ENDNOTES
    • REFERENCES
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