King of the Mountain: The Shiller P/E and Macroeconomic Conditions
研究发现席勒市盈率的正常水平随经济状况变化，适度的通胀和实际利率对应最高估值倍数，形成估值“山巅”，并证明市盈率向宏观经济条件决定的水平回归可预测短期回报。
Because of mean reversion, the Shiller cyclically adjusted price/earnings (P/E) ratio is a powerful predictor of long-horizon capital market returns. Like other valuation metrics, however, it is a poor predictor of short-term returns. The authors find that this is because the “normal” level of the Shiller P/E ratio varies with economic conditions. Other researchers have shown that while periods of moderate real interest rates allow higher market valuations, P/Es tend to fall when real rates are high or low. The present authors show a similar linkage between P/Es and inflation. Moderate, rather than rock-bottom, levels of inflation and real interest rates are associated with the highest valuation multiples, creating a valuation “mountain.” The authors also extend these findings to international developed markets. They further demonstrate that the P/E ratio becomes a statistically significant and economically meaningful predictor of shorter-term returns under the assumption that P/Es mean-revert toward the levels suggested by prevailing macroeconomic conditions rather than toward long-term averages. <b>TOPICS:</b>Accounting and ratio analysis, developed