【作者(必填)】Marc Fandetti

【文题(必填)】A Time- Series Analysis and Forecast of CAPE

【年份(必填)】DOI: https://doi.org/10.3905/jpm.2021.1.265

【全文链接或数据库名称(选填)】The  Journal  of  Portfolio  Management August  2021, 47 (8) 138-150;

Abstract
Expanding stock market valuation multiples add to expected returns, and contracting multiples subtract from them. But how to forecast valuation measures such as the cyclically adjusted price-to-earnings (CAPE) ratio? Using Robert Shiller’s CAPE, the
author first shows that forecasts based on mean reversion are almost certainly wrong—CAPE appears to be nonstationary, indicating no tendency toward mean reversion. The author then provides forecasts of CAPE using time-series analysis—an approach that requires no theory and accommodates a range of views about factors that influence valuation. The author suggests that practitioners use these time-series forecasts to help inform capital market assumptions