One criticism levelled at Robert Shiller’s cyclically-adjusted price/earnings ratio (CAPE) is that – for the S&P 500 at least – the denominator has been depressed by accounting changes. This has led some to conclude that US equities are overvalued. But we dispute the claim made most recently by Jeremy Siegel that the stock market is fairly valued when reported earnings are replaced with "macroeconomic" earnings. The macroeconomic-based CAPE is lower than the S&P-based measure, but probably still higher than its own very long-run average would be were the data fully available.
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