I have a fairly long piece coming out looking at CAPE, but for those of you interested, here are the research and resources I used:

Fixing the Shiller CAPE: Accounting, Dividends, and the Permanently High Plateau   PHILOSOPHICAL ECONOMICS December 13, 2013 @Jesse_Livermore

An Old Friend: The Stock Market’s Shiller P/E, Clifford S. Asness, Ph.D., AQR’s Absolute Return Fund. Q3 2012 letter

CAPE and math Salil Mehta, Statistical Ideas, August 20, 2014

Shiller CAPE Market Valuation: Terrible For Market Timing, But Valuable For Long-Term Retirement Planning Michael Kitces, August 6th, 2014

If You Used Valuation, You Would Be Out of Stocks Since 1993, Mebane Faber Research, June 10th, 2014

Don’t put faith in Cape crusaders Jeremy Siegel FT, August 19, 2013

Leaving CAPE Town Joshua M Brown Reformed Broker, January 12th, 2014

In defence of the Shiller p/e Buttonwood, The Economist May 18th 2011

Who’s Afraid of Shiller’s CAPE? Erik Kobayashi-Solomon, Y-Charts August 1, 2014

Market Valuation, Inflation and Treasury Yields: Clues from the Past Doug Short, Advisor Perspectives August 6, 2014

A CAPE Crusader: A Defence Against the Dark Arts, James Montier GMO  2/25/2014

CAPE Fear Mebane Faber Research, December 18th, 2013

Understanding the CAPE Debate: The History of 24 or More Keith C. Goddard, CFA, Channing S. Smith, CFA, and Monty L. Butts ValueWalk, February 25, 2014

A Cautionary Note About Robert Shiller’s CAPE by Stephen E. Wilcox AAII Journal, September 2011

Taking Stock of the S&P 500 Index Michael Rawson, Morningstar, 01-10-14

Shiller CAPE Peaches Smell Like BS Wade Slome Investing Caffeine, June 14, 2014

Shiller’s CAPE – Is It Really Just B.S. Lance Roberts 18 June 2014

Improving Risk-Adjusted Returns Using Market-Valuation-Based Tactical Asset Allocation Strategies by Kenneth R. Solow, CFP®, CLU, ChFC; Michael E. Kitces, CFP®, CLU, ChFC, RHU, REBC; and Sauro Locatelli

Is the Stock Market Cheap? Doug Short, Advisor Perspectives August 5, 2014

The CAPE Ratio and a Range of Historical Outcomes Ben Carlson A Wealth of Common Sense, April 29, 2014

That’s your homework reading for the weekend


Category: Markets, Philosophy, Valuation

Please use the comments to demonstrate your own ignorance, unfamiliarity with empirical data and lack of respect for scientific knowledge. Be sure to create straw men and argue against things I have neither said nor implied. If you could repeat previously discredited memes or steer the conversation into irrelevant, off topic discussions, it would be appreciated. Lastly, kindly forgo all civility in your discourse . . . you are, after all, anonymous.

2 Responses to “Weekendend Homework: Sources & Research on Shiller’s CAPE”

  1. rd says:

    The biggest surprise I have had with CAPE is the Wall Street technical analysts seem to have left it alone since they seem intent on analyzing anything that is a line with squiggles. You would figure by now that we would be seeing lots of discussions of resistance levels, Golden Crosses etc. by now.

  2. dctodd27 says:

    Don’t forget GMO’s James Montier’s “CAPE Crusader, Defense Against the Dark Arts”!


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