Does the Shiller-PE Work in Emerging Markets?

Abstract:     
We test the reliability of the Cyclically Adjusted PE (CAPE) or Shiller PE as a forecasting and valuation tool for 35 countries including emerging markets. We find that the Shiller-PE is a reliable long-term valuation indicator for developed and emerging markets and we use the indicator to predict real returns on local equity markets over the next five to ten years.

Number of Pages in PDF File: 41

Keywords: Shiller-PE, cyclically adjusted PE, equity market returns

JEL Classification: G12

working papers series