---
date: "2026-08-19 22:04:54"
tags: "Robert Shiller's Data Website"
category: "Summary Statistics, Cape, Shiller"
---

# Chart: Summary Statistics: CAPE vs. Subsequent 10-Year S&P Return (1929-present)
Scatter of Shiller CAPE (P/E10) at year t against the cumulative S&P total return realized over the following 10 years, with a fitted line showing the valuation/mean-reversion relationship.

## Chart
```{raw} html
<iframe src="../../_static/P01/summary_statistics_cape.html" height="500px" width="100%"></iframe>

<p style="text-align: center;">Sources: Robert Shiller's Data Website</p>
```
[Full Screen Chart](../download_chart/P01/summary_statistics_cape.html)




x-axis: `pe10`; y-axis: 10-year-forward sum of `sp_return` (the log total return implied by `sp500_price` and `dividend`), both from `shiller_data_annual.parquet`. Years within 10 years of the end of the sample are dropped for lack of a forward window.


## Chart Specs

| Chart Name             | Summary Statistics: CAPE vs. Subsequent 10-Year S&P Return (1929-present)                                                   |
|------------------------|------------------------------------------------------------|
| Chart ID               | summary_statistics_cape                                               |
| Tags                   | Summary Statistics, Cape, Shiller                                      |
| Data Series Start Date |                                              |
| Data Frequency         | Annual                                              |
| Observation Period     | Calendar Year                                     |
| Lag in Data Release    |                                             |
| Data Release Timing    |                                          |
| Seasonal Adjustment    | Not Seasonally Adjusted                                    |
| Units                  | Ratio (x); Pct. (y)                                                  |
| HTML Chart             | [HTML](../download_chart/P01/summary_statistics_cape.html)    |


## Dataframe Manifest

| Dataframe Name                 | Robert Shiller Annual Stock Market Data                                                          |
|--------------------------------|--------------------------------------------------------------------------------------|
| Dataframe ID                   | [shiller_processed_annual_series](../dataframes/P01/shiller_processed_annual_series.md)                                       |
| Sources                        | Robert Shiller's Data Website                                          |
| Providers                      | Robert Shiller                                        |
| Provider Links                 | https://shillerdata.com/                                   |
| Tags                           | Processed Data, Stock Market, Shiller                                             |
| Access Types                   | Public                                      |
| How is data pulled?            | Derived from `shiller_market_variables` via `process_shiller_annual` in `pull_shiller.py`                                                   |
| Data available up to (min)     |                                                              |
| Data available up to (max)     |                                                              |
| Dataframe Path                 | C:\Users\fraff\OneDrive\Documentos\UChicago\FINM_32900_Full_Stack_Quantitative_Finance\Project\p03_lopez_salido_stein_zakrajsek_2017\_data\processed_data\shiller_data_annual.parquet                                             |


**Linked Charts:**


- [P01:summary_statistics_cape](../../charts/P01.summary_statistics_cape.md)



## Pipeline Manifest

| Pipeline Name                   | Credit-Market Sentiment and the Business Cycle                       |
|---------------------------------|--------------------------------------------------------|
| Pipeline ID                     | [P01](../../index.md)              |
| Maintainer                      | Fernando Raffo, Bangjie Xu               |
| Contributors                    | Fernando Raffo, Bangjie Xu |
| Repository                     | https://github.com/fernando-raffo/p03_lopez_salido_stein_zakrajsek_2017                  |
| Pipeline Web Page               | <a href="file://C:/Users/fraff/OneDrive/Documentos/UChicago/FINM_32900_Full_Stack_Quantitative_Finance/Project/p03_lopez_salido_stein_zakrajsek_2017/docs/index.html">Pipeline Web Page      |
| Date of Last Code Update        | 2026-08-19 22:04:54           |
| OS Compatibility                | Windows, Linux, MacOS |
| Linked Dataframes               |  [P01:fred_macroeconomic_variables](../dataframes/P01/fred_macroeconomic_variables.md)<br>  [P01:shiller_market_variables](../dataframes/P01/shiller_market_variables.md)<br>  [P01:greenwood_hanson_hys](../dataframes/P01/greenwood_hanson_hys.md)<br>  [P01:mergent_fisd_bond_data](../dataframes/P01/mergent_fisd_bond_data.md)<br>  [P01:fred_processed_monthly_series](../dataframes/P01/fred_processed_monthly_series.md)<br>  [P01:fred_processed_annual_series](../dataframes/P01/fred_processed_annual_series.md)<br>  [P01:shiller_processed_annual_series](../dataframes/P01/shiller_processed_annual_series.md)<br>  [P01:greenwood_hanson_hys_processed_series](../dataframes/P01/greenwood_hanson_hys_processed_series.md)<br>  |