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The CABM Ratio Is Superior To The CAPE Ratio, Says Study

The October edition of the Academic Research Digest by Citi Global Quantitative Research contains an overview of four academic research papers. One of these, “On the Performance of Cyclically Adjusted Valuation Measures,” dated September 30, 2013, is a  study by Wesley R. Gray, Drexel University, LeBow College of Business; Empiritrage, LLC, and Jack Vogel, Drexel University that compares different cyclically adjusted valuation measures.

Objective of the study

Are cyclically-adjusted valuation metrics effective in identifying high performing . . .

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