On the predictive power of CAPE or Shiller’s PE ratio: the case of the Greek stock market

This paper examines the capability of Cyclically Adjusted Price to Earnings (CAPE) or Shiller’s P/E ratio, along with other relative valuation ratios such as and P/BV, predict future returns FTSE/ASE Large Cap Index, starting from development index (1997) December 2018. We have herein used several regression models in order examine relationship between above 1, 3, 5 10 years. show that, while P/BV are not correlated returns, CAPE ratio its variation 5, which uses real year earnings, efficient estimators returns. Our results imply informational inefficiency Greek Stock Market.