On the Performance of Cyclically Adjusted Valuation Measures

We confirm the effectiveness of using cyclically-adjusted valuation metrics to identify high performing stocks. The Shiller P/E, or cyclically-adjusted price-to-earnings (CAPE) ratio, is not the optimal way to implement a cyclically-adjusted value measure. At the margin, the cyclically-adjusted book-to-market (CA-BM) is a better measure to predict returns. We find that more frequent rebalancing and momentum can enhance strategies based on cyclically-adjusted valuation metrics

MoreLess

Year of publication:	2013
Authors:	Gray, Wesley R.
Other Persons:	Vogel, Jack (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Konjunktur \| Business cycle \| Theorie \| Theory \| Schätzung \| Estimation \| Messung \| Measurement \| Performance-Messung \| Performance measurement

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10013075708