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摘要翻译：
基于Robert Shiller提出的周期调整价格收益(CAPE)估值比率预测市场长期表现的能力，我们提出了一个简单的股票指数收益动态模型。更确切地说，我们讨论了一个离散时间动力学，其中收益增长取决于三个组成部分：i）动量组成部分，根据代理人相信看涨市场的预期收益高于看跌市场的信念自然证明是合理的；ii）在零时与对数CAPE成正比的基本组成部分。该比率的初始值决定了参考增长水平，实际股票价格可能偏离该水平作为随机外部扰动的影响，以及iii）确保股票价格扩散行为的驱动成分。在这些假设下，我们证明了对于一个足够大的视界，期望收益率和期望总收益率在初始对数角上是线性的，它们的方差趋于零，收敛速度与扩散行为一致。最终，这意味着动量成分可能会在短期和中期产生泡沫和崩溃，但估值比率仍然是未来长期回报的一个很好的参考点。
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英文标题：
《Value matters: Predictability of Stock Index Returns》
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作者：
Natascia Angelini, Giacomo Bormetti, Stefano Marmi and Franco Nardini
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最新提交年份：
2013
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
We present a simple dynamical model of stock index returns which is grounded on the ability of the Cyclically Adjusted Price Earning (CAPE) valuation ratio devised by Robert Shiller to predict long-horizon performances of the market. More precisely, we discuss a discrete time dynamics in which the return growth depends on three components: i) a momentum component, naturally justified in terms of agents' belief that expected returns are higher in bullish markets than in bearish ones, ii) a fundamental component proportional to the logarithmic CAPE at time zero. The initial value of the ratio determines the reference growth level, from which the actual stock price may deviate as an effect of random external disturbances, and iii) a driving component which ensures the diffusive behaviour of stock prices. Under these assumptions, we prove that for a sufficiently large horizon the expected rate of return and the expected gross return are linear in the initial logarithmic CAPE, and their variance goes to zero with a rate of convergence consistent with the diffusive behaviour. Eventually this means that the momentum component may generate bubbles and crashes in the short and medium run, nevertheless the valuation ratio remains a good reference point of future long-run returns.
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PDF链接：
https://arxiv.org/pdf/1204.5055
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