Financial Analysts Journal .VOL72,NO.3.May/June 2016.

作者：Jeremy J. Siegel (the Russell E. Palmer Professor of Finance at the Wharton School, University of Pennsylvania, Philadelphia)

摘要：羅伯特·席勒的周期性調整市盈率或CAPE比率，已成為未來長期股票回報的最佳預測模型之一。 但是，最近使用CAPE比率的對未來股權回報的預測可能是過度悲觀的，因為在席勒CAPE模型中使用的GAAP收益的計算（例如，“調整至市價”會計）是變化的。當用連續的收入數據，如用NIPA（國民收入和生産賬戶）稅後公司利潤替代GAAP收益時，CAPE模型的預測能力提高，美國股票回報的預測顯着增加。

The Shiller CAPE Ratio: A New Look

Jeremy J. Siegel (the Russell E. Palmer Professor of Finance at the Wharton School, University of Pennsylvania, Philadelphia)

ABSTRACT

Robert Shiller’s cyclically adjusted price–earnings ratio, or CAPE ratio, has served as one of the best forecasting models for long-term future stock returns. But recent forecasts of future equity returns using the CAPE ratio may be overpessimistic because of changes in the computation of GAAP earnings (e.g., “mark-to-market” accounting) that are used in the Shiller CAPE model. When consistent earnings data, such as NIPA (national income and product account) after-tax corporate profits, are substituted for GAAP earnings, the forecasting ability of the CAPE model improves and forecasts of US equity returns increase significantly.

原文鍊接：http://www.cfapubs.org/doi/pdf/10.2469/faj.v72.n3.1

翻譯：趙勝旺