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Practical Applications

Practical Applications

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Practical Applications of Value Investing Through the Lens of Campbell–Shiller

Jack P. Mo, Xiao Qiao and Barbara J. Mack
Practical Applications Fall 2015, 3 (2) DOI: https://doi.org/10.3905/pa.2015.3.2.124
Jack P. Mo
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Xiao Qiao
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Barbara J. Mack
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Value Investing Through the Lens of Campbell–Shiller Jack P Mo Xiao Qiao

Abstract

The search for formal ways to assess the value of equities dates back to the publication of Graham and Dodd’s Security Analysis in 1934. Since then, investors have explored a wide range of methods for determining the current value of a stock and predicting future returns. Jack Mo of P. Schoenfeld Asset Management and Xiao Qiao of the University of Chicago’s Booth School of Business illustrate how the Campbell–Shiller present-value identity can be applied in the real world. A surprising conclusion from their research is that using a well-known academic construct produces the same results as those sought by value investors.

“This work on the Campbell–Shiller identity offers a compelling example of why academics and practitioners should communicate and collaborate together to develop new models and methods for the investment community as a whole,” Mo urges.

TOPICS: Statistical methods, security analysis and valuation

  • The content is made available for your general information and use and is not intended for trading or other specific investment advice purposes or to address your particular requirements. We do not represent or endorse the accuracy or reliability of any advice, opinion, statement, or other information provided any user of this publication. Reliance upon any opinion, advice, statement, or other information shall also be at your own risk. Independent advice should be obtained before making any such decision. Any arrangements made between you and any third party named in this publication are at your sole risk.
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Practical Applications: 3 (2)
Practical Applications
Vol. 3, Issue 2
Fall 2015
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Practical Applications of Value Investing Through the Lens of Campbell–Shiller
Jack P. Mo, Xiao Qiao
Practical Applications Oct 2015, 3 (2) DOI: 10.3905/pa.2015.3.2.124

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Practical Applications of Value Investing Through the Lens of Campbell–Shiller
Jack P. Mo, Xiao Qiao
Practical Applications Oct 2015, 3 (2) DOI: 10.3905/pa.2015.3.2.124
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