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Joseph Connors and James Gwartney

PE Ratio Research

The Actual and Adjusted CAPE Ratio, 1995-September 1, 2017

The graph above displays the actual CAPE ratio and the adjusted/predicted CAPE ratio from the paper “Are Stock Prices High or Low?” listed below. The CAPE ratio is the cyclically adjusted price-earnings ratio from Robert Shiller (see Irrational Exuberance, 3rd ed.) The adjusted/predicted CAPE ratio is what the model from the working paper indicates the CAPE ratio should be after accounting for the interest rate, growth of RGDP, short- and long-run investor sentiment, and the capital gains tax rate. As of September 1, 2017, the actual CAPE ratio (30.31) is higher than what the model predicts (24.91).

DateCAPE RatioCAPE RatioAdjusted
Sep 1, 201730.3124.915.40
Aug 1, 201730.3125.195.12
Jul 1, 201729.7624.465.30
Jun 1, 201729.7224.715.01
May 1, 201729.2324.364.87
Apr 1, 201728.9024.704.20
Mar 1, 201729.0924.404.69
Feb 1, 201728.6624.224.44
Jan 1, 201728.0624.044.02
Dec 1, 201627.8724.073.80
Nov 1, 201626.8524.901.95
Oct 1, 201626.5325.750.78

Click here to download the full adjusted CAPE ratio table (.xlsx file).

Note: These graphs and data are updated on the first day of each month.

Working Papers
“Are Stock Prices High or Low?” Joseph Connors and James Gwartney, draft 6/21/2017.
Data Appendix for “Are Stock Prices High or Low?”