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

Klement, Joachim, Does the Shiller-PE Work in Emerging Markets? (June 12, 2012). Available at SSRN: or

Joachim Klement (Contact Author)

Liberum Capital ( email )

25 Ropemaker Street
London, EC2Y 9LY
United Kingdom

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