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Practical Applications

Practical Applications

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Practical Applications of Uncloaking Campbell and Shiller’s CAPE: A Comprehensive Guide to Its Construction and Use

Thomas Philips, Cenk Ural and Kathryn Saklatvala
Practical Applications Summer 2017, 5 (1) DOI: https://doi.org/10.3905/pa.2017.5.1.222
Thomas Philips
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Cenk Ural
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Kathryn Saklatvala
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Uncloaking Campbell and Shiller’s CAPE: A Comprehensive Guide to Its Construction and Use Thomas Philips Cenk Ural

Abstract

Does Campbell and Shiller’s CAPE accurately predict equity returns? Authors Thomas Philips of BNP Paribas says that “[CAPE] has very sound theoretical underpinnings,” but “its usage ranges from very thoughtful to quite careless.” Not do he or co-author Cenk Ural think any recent enhancements have “substantially improved on the ability of the basic CAPE methodology to describe and forecast returns.”

In this conversation with Institutional Investor Journals, they explain how their proposed modifications, such as using accounting-flow variables such as cash flow and revenues in place of earnings and cyclically adjusted earnings can effectively supplement, and even improve, CAPE‘s market return forecasts.

TOPICS: Performance measurement, real assets/alternative investments/private equity

  • 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: 5 (1)
Practical Applications
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Summer 2017
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Practical Applications of Uncloaking Campbell and Shiller’s CAPE: A Comprehensive Guide to Its Construction and Use
Thomas Philips, Cenk Ural
Practical Applications Jul 2017, 5 (1) DOI: 10.3905/pa.2017.5.1.222

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Practical Applications of Uncloaking Campbell and Shiller’s CAPE: A Comprehensive Guide to Its Construction and Use
Thomas Philips, Cenk Ural
Practical Applications Jul 2017, 5 (1) DOI: 10.3905/pa.2017.5.1.222
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