One of the most remarkable and popular Shiller quotes is: “It amazes me how people are often more willing to act based on little or no data than to use data that is a challenge to assemble.”
This site contains a valuable and widely used annual series on long term stock, bond, interest rate and consumption data since 1871 that Robert Shiller in collaboration with several colleagues collected to examine long term historical trends in the US market.
It has a data set that consists of monthly stock price, dividends, and earnings data and the consumer price index (to allow conversion to real values), all starting January 1871.
It also shows data of the CAPE ratio, also known as the Shiller P/E ratio, a valuation measure that uses real earnings per share (EPS) over a 10-year period to smooth out fluctuations in corporate profits that occur over different periods of a business cycle.
The P/E ratio is a valuation metric that measures a stock’s price relative to the company’s earnings per share. EPS is a company’s profit divided by the outstanding equity shares.
The ratio is generally applied to broad equity indices to assess whether the market is undervalued or overvalued. While the CAPE ratio is a popular and widely followed measure, several leading industry practitioners have called into question its utility as a predictor of future stock market returns.
Robert James Shiller is an American economist, Nobel Laureate in 2013, academic, and best-selling author. As of 2018, he serves as a Sterling Professor of Economics at Yale University and is a fellow at the Yale School of Management’s International Center for Finance. Shiller has been a research associate of the National Bureau of Economic Research (NBER) since 1980, was vice president of the American Economic Association in 2005, and president of the Eastern Economic Association for 2006–2007. He is also the co‑founder and chief economist of the investment management firm MacroMarkets LLC.
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