New GIBS whitepaper: A modified Shiller’s cyclically adjusted price-to-earnings (CAPE) ratio for stock market index valuation in a zero-interest rate environment by Roberto Catanho & Adrian Saville

The cyclically adjusted price-earnings ratio (CAPE) is a tool that has become widely used to predict market returns. However, recently, deterioration in its forecast strength has surfaced. At the same time, global long-term interest rates have declined and are expected to remain at record lows, which the CAPE fails to consider. Omitting to fully examine […]
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