Does the Shiller-PE Work in Emerging Markets?
41 Pages Posted: 21 Jun 2012 Last revised: 22 Jul 2012
Date Written: June 12, 2012
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.
Keywords: Shiller-PE, cyclically adjusted PE, equity market returns
JEL Classification: G12
Suggested Citation: Suggested Citation