Angelini, Natascia; Bormetti, Giacomo; Marmi, Stefano; … - arXiv.org - 2012
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 Shiller to predict long-horizon performances of the market. More precisely, we discuss a discrete time dynamics in which...