文档介绍：Valuation Ratios and the Long-Run Stock Market Outlook: An Update
John Y. Campbell and Robert J. Shiller
ABSTRACT
The use of price–earnings ratios and dividend-price ratios as forecasting variables for the
stock market is examined using aggregate annual US data 1871 to 2000 and aggregate quarterly
data for twelve countries since 1970. Various simple efficient-markets models of financial
markets imply that these ratios should be useful in forecasting future dividend growth, future
earnings growth, or future productivity growth. We conclude that, overall, the ratios do poorly in
forecasting any of these. Rather, the ratios appear to be useful primarily in forecasting future
stock price changes, contrary to the simple efficient-markets models. This paper is an update of
our earlier paper (1998), to take account of the remarkable behavior of the stock market in the
closing years of the twentieth century.
John Y. Campbell Robert J. Shiller
Department of Economics Department of Economics
Littauer Center 213 Yale University
Harvard University . Box 208281
Cambridge, MA 02138 New Haven, CT 06520-8281
and NBER and NBER
john_******@ robert.******@
Valuation Ratios and the Long-Run Stock Market Outlook:
An Update3
John Y. Campbell and Robert J. Shiller4
When stock market valuation ratios are at extreme levels by historical standards, as
dividend–price and price–earnings ratios have been for some years in the US, one naturally
wonders what this means for the stock market outlook. It seems reasonable to suspect that prices
are not likely ever to drift too far from their normal levels relative to indicators of fundamental
value, such as dividends or earnings. Thus it seems natural to give at least some weight to the
simple mean-reversion theory that when stock prices are very high relative to these indicators, as
they have been recently, then prices will eventually fall in the future to bring the ratios back to
more norma