- Path:
-
Nr. 4040
Periodical
- Title:
- Statistics & risk modeling
- Publication:
-
Berlin: De Gruyter
- Note:
- Gesehen am 02.04.15
- 355!Verl.-URL gelöscht(09-10-13)
- Scope:
- Online-Ressource
- ISSN:
- 2196-7040
- ZDB-ID:
-
2630803-4
- VÖBB-Katalog:
- 35425725
- Previous Title:
- Statistics & decisions
- Keywords:
- Zeitschrift
- Classification:
- Mathematik
- Collection:
- Mathematik
- Copyright:
- Rights reserved
- Accessibility:
- Eingeschränkter Zugang mit Nutzungsbeschränkungen
Article
- Title:
- A new stock market valuation measure with application to retriement planning
- Publication:
-
Berlin: De Gruyter, 2025
- Language:
- English
- Information:
- Abstract: We generalize the classic Shiller cyclically adjusted price-earnings ratio (CAPE) used for prediction of future total returns of the stock market. We treat earnings growth as exogenous. The difference between log wealth and log earnings is modeled as an autoregression of order 1 with linear trend 4.6 and Gaussian innovations. Detrending gives us a new valuation measure. Our results disprove the Efficient Market Hypothesis. Therefore, long-run total returns equal long-run earnings growth plus 4.6 Ẇe apply results to retirement planning. A withdrawal process governs how a retired capital owner withdraws a certain fraction of wealth annually. We study the long-term behavior of such processes.
- Scope:
- Online-Ressource
- Note:
- Kein Open Access
- Archivierung/Langzeitarchivierung gewährleistet
- Keywords:
- Autoregression ; total returns ; earnings growth ; ergodic process ; 60F05 ; 60G10 ; 60J20 ; 62J05 ; 62M10 ; 62P05 ; 62P20 ; 91B84
- Classification:
- Mathematik
- Sonstiges
- Collection:
- Mathematik
- Sonstiges
- Copyright:
- Rights reserved
- Accessibility:
- Eingeschränkter Zugang mit Nutzungsbeschränkungen
