I have a fairly long piece coming out looking at CAPE, but for those of you interested, here are the research and resources I used:
Fixing the Shiller CAPE: Accounting, Dividends, and the Permanently High Plateau PHILOSOPHICAL ECONOMICS December 13, 2013 @Jesse_Livermore
An Old Friend: The Stock Market’s Shiller P/E, Clifford S. Asness, Ph.D., AQR’s Absolute Return Fund. Q3 2012 letter
CAPE and math Salil Mehta, Statistical Ideas, August 20, 2014
Shiller CAPE Market Valuation: Terrible For Market Timing, But Valuable For Long-Term Retirement Planning Michael Kitces, August 6th, 2014
If You Used Valuation, You Would Be Out of Stocks Since 1993, Mebane Faber Research, June 10th, 2014
Don’t put faith in Cape crusaders Jeremy Siegel FT, August 19, 2013
Leaving CAPE Town Joshua M Brown Reformed Broker, January 12th, 2014
In defence of the Shiller p/e Buttonwood, The Economist May 18th 2011
Who’s Afraid of Shiller’s CAPE? Erik Kobayashi-Solomon, Y-Charts August 1, 2014
Market Valuation, Inflation and Treasury Yields: Clues from the Past Doug Short, Advisor Perspectives August 6, 2014
A CAPE Crusader: A Defence Against the Dark Arts, James Montier GMO 2/25/2014
CAPE Fear Mebane Faber Research, December 18th, 2013
Understanding the CAPE Debate: The History of 24 or More Keith C. Goddard, CFA, Channing S. Smith, CFA, and Monty L. Butts ValueWalk, February 25, 2014
A Cautionary Note About Robert Shiller’s CAPE by Stephen E. Wilcox AAII Journal, September 2011
Taking Stock of the S&P 500 Index Michael Rawson, Morningstar, 01-10-14
Shiller CAPE Peaches Smell Like BS Wade Slome Investing Caffeine, June 14, 2014
Shiller’s CAPE – Is It Really Just B.S. Lance Roberts 18 June 2014
Improving Risk-Adjusted Returns Using Market-Valuation-Based Tactical Asset Allocation Strategies by Kenneth R. Solow, CFP®, CLU, ChFC; Michael E. Kitces, CFP®, CLU, ChFC, RHU, REBC; and Sauro Locatelli
Is the Stock Market Cheap? Doug Short, Advisor Perspectives August 5, 2014
The CAPE Ratio and a Range of Historical Outcomes Ben Carlson A Wealth of Common Sense, April 29, 2014
That’s your homework reading for the weekend
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