This is a summary of links featured on Quantocracy on Sunday, 12/18/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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An Interesting Analysis of Shiller’s CAPE Ratio [Quantpedia]Robert Shiller shows that Cyclically Adjusted Price to Earnings Ratio (CAPE) is strongly associated with future long-term stock returns. This result has often been interpreted as evidence of market inefficiency. We present two findings that are contrary to such an interpretation. First, if markets are efficient, returns on average, even when conditional on CAPE, should be higher than the risk-free