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

Sources: Robert Shiller's Data Website

Full Screen Chart

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

Dataframe Manifest

Dataframe Name	Robert Shiller Annual Stock Market Data
Dataframe ID	shiller_processed_annual_series
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

Pipeline Manifest

Pipeline Name	Credit-Market Sentiment and the Business Cycle
Pipeline ID	P01
Maintainer	Fernando Raffo, Bangjie Xu
Contributors	Fernando Raffo, Bangjie Xu
Repository	fernando-raffo/p03_lopez_salido_stein_zakrajsek_2017
Pipeline Web Page	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 P01:shiller_market_variables P01:greenwood_hanson_hys P01:mergent_fisd_bond_data P01:fred_processed_monthly_series P01:fred_processed_annual_series P01:shiller_processed_annual_series P01:greenwood_hanson_hys_processed_series

Chart: Summary Statistics: Baa/Aaa-Treasury Credit Spreads (1925-present)   Chart: Summary Statistics: Greenwood-Hanson High-Yield Share (1929-present)