Shiller's CAPE: Market Efficiency and Risk
研究席勒的周期调整市盈率（CAPE）与未来长期股票收益的关系，发现即使CAPE处于高位，股票收益仍高于国债收益，且CAPE与未来波动率负相关，支持市场效率而非无效。
Abstract Robert Shiller shows that Cyclically Adjusted Price to Earnings Ratio (CAPE) is strongly associated with future long‐term stock returns. This is often interpreted as evidence of market inefficiency. We present two findings contrary to such an interpretation. First, if markets are efficient, stock returns should be higher than the risk‐free rate. We find that even when CAPE is in its ninth decile, future 10‐year stock returns, on average, are higher than future returns on 10‐year U.S. Treasurys. Thus, the results are largely consistent with market efficiency. Second, consistent with a risk–return tradeoff, we find that CAPE is negatively associated with future stock market volatility.