PT  - JOURNAL ARTICLE
AU  - Jack P. Mo
AU  - Xiao Qiao
TI  - Value Investing Through the Lens of Campbell-Shiller
AID  - 10.3905/jpm.2015.41.3.059
DP  - 2015 Apr 30
TA  - The Journal of Portfolio Management
PG  - 59--69
VI  - 41
IP  - 3
4099  - https://pm-research.com/content/41/3/59.short
4100  - https://pm-research.com/content/41/3/59.full
AB  - 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.TOPICS: Statistical methods, security analysis and valuation