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 …

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 …

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 …

Este artículo evalúa las bondades del indicador precio-beneficio ajustado cíclicamente para
la construcción de portafolios de inversión en el mercado accionario brasileño para el …

This article evaluates the benefits of the cyclically adjusted price-earnings indicator for the
construction of investment portfolios in the Brazilian stock market for the period 2011-2019 …

Este artículo evalúa las bondades del indicador precio-beneficio ajustado cíclicamente para
la construcción de portafolios de inversión en el mercado accionario brasileño para el …

Abstract From Fama-French (1993) and Carhart (1997) studies, which identify size, value,
and momentum factors in addition to market risk as significant drivers of stock returns, the …

This study investigates predictability of the Cyclically Adjusted Price-Earning (CAPE) ratio
(or Shiller PE ratio) on the returns of the Stock Exchange of Thailand (SET), currently the …