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：罗伯特·席勒的周期性调整市盈率或CAPE比率，已成为未来长期股票回报的最佳预测模型之一。 但是，最近使用CAPE比率的对未来股权回报的预测可能是过度悲观的，因为在席勒CAPE模型中使用的GAAP收益的计算（例如，“调整至市价”会计）是变化的。当用连续的收入数据，如用NIPA（国民收入和生产账户）税后公司利润替代GAAP收益时，CAPE模型的预测能力提高，美国股票回报的预测显着增加。

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.

原文链接：http://www.cfapubs.org/doi/pdf/10.2469/faj.v72.n3.1

翻译：赵胜旺