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Value matters: Predictability of Stock Index Returns
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...
Persistent link: https://www.econbiz.de/10010678205
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Value matters : the long-run behavior of stock index returns
Angelini, Natascia; Bormetti, Giacomo; Marmi, Stefano; … - In: Review of economics & finance 12 (2018) 2, pp. 16-28
Persistent link: https://www.econbiz.de/10011885380
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A stylized model for long-run index return dynamics
Angelini, Natascia; Bormetti, Giacomo; Marmi, Stefano; … - In: Essays in economic dynamics : theory, simulation …, (pp. 111-122). 2016
Persistent link: https://www.econbiz.de/10011559035
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Value Matters : Predictability of Stock Index Returns
Angelini, Natascia - 2013
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...
Persistent link: https://www.econbiz.de/10013091244