Is the US stock market overvalued? I use Shiller's CAPE to predict the return of investing in the S&P500 index. Siegel argues that the recent fall in the share of earnings that are paid out as dividends has biased downwards predictions from the CAPE. I offer a solution to the problem of reduced...

In this paper we analyze the performance of China's open-ended mutual funds, using the data of 467 open-ended mutual funds from 60 fund families from January 2010 through April 2015. A paradox emerges. High expense ratios are associated with better performance. Unsurprisingly, in light of...

This paper predicts the stock market using Tobin's q, momentum, the Campbell-Shiller CAPE, and a new variant of the CAPE, the CAPER — trend earnings calculated using regressions of log earnings on time. The CAPER is superior to the CAPE. But q emerges as by far the best of the predictors. Two...

This chapter evaluates the returns of the domestic equity funds of three major American companies: Vanguard, Fidelity, and Dimensional Fund Advisors relative to benchmarks using the Fama-French factors from January 2001 through December 2018. We also present Sharpe's (1992) style analysis...

This paper predicts the performance of the stock market using Tobin’s q, momentum, the Campbell-Shiller CAPE, and a new variant of the CAPE, the CAPER, which is trend earnings calculated using regressions of log earnings on time. Generally, the CAPER is superior to the CAPE. But q emerges as...

Each month, GMO publishes on the web its predictions of the real rate of return for various asset styles over the next seven years. Its web library retains its quarterly predictions, dating back to the end of the second quarter of 2000. This inquiry explores whether they predict the performance...

How much of a difference do smart trading strategies, stock choice, and lending securities to short sellers reduce the net expenses of Vanguard’s index ETFs below their reported expense ratios? Using Vanguard’s reported returns for their index ETFs and their benchmarks I discover the return...