| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20370 |
| 来源ID | Working Paper 20370 |
| Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013 | |
| Oliver D. Bunn; Robert J. Shiller | |
| 发表日期 | 2014-08-07 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We construct a price, dividend, and earnings series for the Industrials sector, the Utilities sector, and the Railroads sector from the beginning of the 1870s until the beginning of the year 2013 from primary sources. To infer about mispricings in the sector markets over more than a century, we investigate the forecasting power of the Cyclically Adjusted Price-Earnings (CAPE) ratio for these sectors. With regard to the CAPE ratio, which has originally been devised and employed by Campbell and Shiller (1988, 1998, 2001) as well as Shiller (2005), we define a methodological improvement to this ratio to not only be robust to inflationary changes, but also to changes in corporate payout policy. We then update the original evidence from Campbell and Shiller (1998, 2001) of the return predictability of the CAPE ratio for the overall stock market and furthermore extend this evidence to the three forementioned sectors individually. Whereas this part of our analysis focuses on each sector of the US economy in isolation, we subsequently construct an indicator from the CAPE ratio that enables us to perform valuation comparisons across sectors. In addition to establishing the prediction of subsequent return differences based on differences in the CAPE-based valuation indicator, we also suggest a hypothetical, historical, and simple value investment strategy that rotates between the three sectors based on the valuation signals derived from the CAPE-based indicator, generating slightly more than 1:09% annualized, inflation-adjusted excess total return over the market benchmark during a period of nearly 110 years. |
| 主题 | Macroeconomics ; Business Cycles ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; History ; Financial History |
| URL | https://www.nber.org/papers/w20370 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578043 |
| 推荐引用方式 GB/T 7714 | Oliver D. Bunn,Robert J. Shiller. Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
