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 …

This study investigates whether financial ratios, such as the dividend-price, price-to-book, or
price-earnings ratios, reliably predict the equity premium in Korea. We construct the longest …

The accuracy of US stock return forecasts based on the cyclically-adjusted P/E (CAPE) ratio
has deteriorated since 1985. The issue is not the CAPE ratio, but CAPE regressions that …

Abstract Professor Robert Shiller's cyclically adjusted price/earnings ratio (CAPE) has
proven to be a powerful descriptor, as well as a useful predictor, of long-term equity returns …

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 …

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 …

Stock return predictability in highly developed countries has both empirical and theoretical
justification in financial literature. The article aims to answer the question if market valuation …

This thesis aimed to analyse the signalling capability of the Cyclically Adjusted Price to
Earnings (CAPE) ratio and to analyse the performance of asset pricing models in the context …

This paper examines if the value premium still exists when incorporating market-level and
firm level conditions together. To evaluate my research, I have presented several tested …

Estimating long-term expected returns as accurately as possible is of critical importance.
Researchers typically base their estimates on yield and growth, valuation, or a combined …