Does the Shiller-PE Work in Emerging Markets?

Joachim Klement

Credit Suisse

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.

Number of Pages in PDF File: 41

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

JEL Classification: G12

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Date posted: June 21, 2012 ; Last revised: July 22, 2012

Suggested Citation

Klement, Joachim, Does the Shiller-PE Work in Emerging Markets? (June 12, 2012). Available at SSRN: https://ssrn.com/abstract=2088140 or http://dx.doi.org/10.2139/ssrn.2088140

Contact Information

Joachim Klement (Contact Author)
Credit Suisse ( email )
P.O. Box
Zurich, CH-8070
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