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Weekendend Homework: Sources & Research on Shiller’s CAPE

Posted By Barry Ritholtz On August 22, 2014 @ 1:00 pm In Markets,Philosophy,Valuation | Comments Disabled

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 [1]   PHILOSOPHICAL ECONOMICS December 13, 2013 @Jesse_Livermore

An Old Friend: The Stock Market’s Shiller P/E [2], Clifford S. Asness, Ph.D., AQR’s Absolute Return Fund. Q3 2012 letter

CAPE and math [3] Salil Mehta, Statistical Ideas, August 20, 2014

Shiller CAPE Market Valuation: Terrible For Market Timing, But Valuable For Long-Term Retirement Planning [4] Michael Kitces, August 6th, 2014

If You Used Valuation, You Would Be Out of Stocks Since 1993 [5], Mebane Faber Research, June 10th, 2014

Don’t put faith in Cape crusaders [6] Jeremy Siegel FT, August 19, 2013

Leaving CAPE Town [7] Joshua M Brown Reformed Broker, January 12th, 2014

In defence of the Shiller p/e [8] Buttonwood, The Economist May 18th 2011

Who’s Afraid of Shiller’s CAPE? [9] Erik Kobayashi-Solomon, Y-Charts August 1, 2014

Market Valuation, Inflation and Treasury Yields: Clues from the Past [10] Doug Short, Advisor Perspectives August 6, 2014

A CAPE Crusader: A Defence Against the Dark Arts [11], James Montier GMO  2/25/2014

CAPE Fear [12] Mebane Faber Research, December 18th, 2013

Understanding the CAPE Debate: The History of 24 or More [13] Keith C. Goddard, CFA, Channing S. Smith, CFA, and Monty L. Butts ValueWalk, February 25, 2014

A Cautionary Note About Robert Shiller’s CAPE [14] by Stephen E. Wilcox AAII Journal, September 2011

Taking Stock of the S&P 500 Index [15] Michael Rawson, Morningstar, 01-10-14

Shiller CAPE Peaches Smell Like BS [16] Wade Slome Investing Caffeine, June 14, 2014

Shiller’s CAPE – Is It Really Just B.S [17]. Lance Roberts 18 June 2014

Improving Risk-Adjusted Returns Using Market-Valuation-Based Tactical Asset Allocation Strategies [18] by Kenneth R. Solow, CFP®, CLU, ChFC; Michael E. Kitces, CFP®, CLU, ChFC, RHU, REBC; and Sauro Locatelli

Is the Stock Market Cheap? [19] Doug Short, Advisor Perspectives August 5, 2014

The CAPE Ratio and a Range of Historical Outcomes [20] Ben Carlson A Wealth of Common Sense, April 29, 2014

That’s your homework reading for the weekend

 


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URL to article: http://www.ritholtz.com/blog/2014/08/weekendend-homework-sources-research-on-shillers-cape/

URLs in this post:

[1] Fixing the Shiller CAPE: Accounting, Dividends, and the Permanently High Plateau: http://www.philosophicaleconomics.com/2013/12/shiller/

[2] An Old Friend: The Stock Market’s Shiller P/E: https://www.aqr.com/Portals/1/ResearchPapers/ShillerPECommentary_AQRCliffAsness.pdf

[3] CAPE and math: http://statisticalideas.blogspot.com/2014/08/cape-and-math.html

[4] Shiller CAPE Market Valuation: Terrible For Market Timing, But Valuable For Long-Term Retirement Planning: http://www.kitces.com/blog/shiller-cape-market-valuation-terrible-for-market-timing-but-valuable-for-long-term-retirement-planning/

[5] If You Used Valuation, You Would Be Out of Stocks Since 1993: http://mebfaber.com/2014/06/10/if-you-used-valuation-you-would-be-out-of-stocks-since-1995/

[6] Don’t put faith in Cape crusaders: http://www.ft.com/intl/cms/s/0/496a3844-0013-11e3-9c40-00144feab7de.html

[7] Leaving CAPE Town: http://www.thereformedbroker.com/2014/01/12/leaving-cape-town/

[8] In defence of the Shiller p/e: http://www.economist.com/blogs/buttonwood/2011/05/stockmarket_valuation

[9] Who’s Afraid of Shiller’s CAPE?: http://www.ritholtz.com/blog/2014/08/whos-afraid-of-shillers-cape/

[10] Market Valuation, Inflation and Treasury Yields: Clues from the Past: http://www.advisorperspectives.com/dshort/commentaries/Market-Valuation-Inflation-and-10-Year-Yields.php

[11] A CAPE Crusader: A Defence Against the Dark Arts: https://www.gmo.com

[12] CAPE Fear: http://mebfaber.com/2013/12/18/cape-fear/

[13] Understanding the CAPE Debate: The History of 24 or More: http://www.valuewalk.com/2014/02/understanding-cape-debate-history-24/

[14] A Cautionary Note About Robert Shiller’s CAPE: http://www.aaii.com/journal/article/a-cautionary-note-about-robert-shillers-cape.touch

[15] Taking Stock of the S&P 500 Index: http://ibd.morningstar.com/article/article.asp?id=630192&CN=brf295,http://ibd.morningstar.com/archive/archive.asp

[16] Shiller CAPE Peaches Smell Like BS: http://investingcaffeine.com/2014/06/14/shiller-cape-peaches-smell-like-bs/%20Wade%20Slome

[17] Shiller’s CAPE – Is It Really Just B.S: http://streettalklive.com/index.php/blog.html?id=2266

[18] Improving Risk-Adjusted Returns Using Market-Valuation-Based Tactical Asset Allocation Strategies: http://www.onefpa.org/journal/Pages/Improving%20Risk-Adjusted%20Returns%20Using%20Market-Valuation-Based%20Tactical%20Asset%20Allocation%20Strategies.aspx

[19] Is the Stock Market Cheap?: http://www.advisorperspectives.com/dshort/updates/PE-Ratios-and-Market-Valuation.php

[20] The CAPE Ratio and a Range of Historical Outcomes: http://awealthofcommonsense.com/cape-ratio-range-historical-outcomes/

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