most citedValue matters: Predictability of Stock Index Returns

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q-fin.GN2012★ 1 cited

Value matters: Predictability of Stock Index Returns

Natascia Angelini, Giacomo Bormetti, Stefano Marmi +1

We present a simple dynamical model of stock index returns which is grounded on the ability of the Cyclically Adjusted Price Earning (CAPE) valuation ratio devised by Robert Shille…