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Shiller Data
Old 04-21-2004, 11:03 AM   #1
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Shiller Data

In Shiller's stock market data that is used in FIRECALC, what is the data series that Shiller is using for stock market returns? It's labeled "S&P Composite," but it doesn't appear to match the S&P 500 numbers from Yahoo. For example Shiller's January 2003 number is 895.84, but Yahoo lists the January 2003 opening and closing prices as 879.82 and 855.7. Are the Shiller numbers adjusted in some way?
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Re: Shiller Data
Old 04-21-2004, 11:32 AM   #2
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Re: Shiller Data

Here are links to Professor Shiller's web site.

Home page:
http://www.econ.yale.edu/~shiller/

Here is the data. He provides some of the information that you are after.
http://www.econ.yale.edu/~shiller/data.htm

This is a List of Online Papers
http://www.econ.yale.edu/~shiller/online.htm

These two papers show that P/E10 is a good predictor of future performance.

Original Paper by Shiller, which is easier to read.
http://www.econ.yale.edu/~shiller/data/peratio.html

Federal Reserve Paper by Shiller and Campbell, which is more thorough.
http://www.econ.yale.edu/~shiller/online/jpmalt.pdf

Have fun.

John R.
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Re: Shiller Data
Old 04-22-2004, 08:45 AM   #3
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Re: Shiller Data

Right, that's where I got the data that I'm asking about. On that site he only says, "The price, dividend, and earnings series are from the same sources as described in Chapter 26 of my earlier book, (Market Volatility [Cambridge, Mass.: MIT Press, 1989])."

When I look at his S&P data compared to the S&P data that comes out of Yahoo, Shiller's "market" has a higher return and lower volatility than the S&P 500. Obviously, this concerns me when the data is used for portfolio survivability, and I wonder what adjustments he has made.
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Re: Shiller Data
Old 06-17-2004, 10:27 AM   #4
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Re: Shiller Data

Bongo,
I havent looked into this, but could it be that Shiller includes dividends?
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Re: Shiller Data
Old 06-17-2004, 11:05 AM   #5
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Re: Shiller Data

Bongo,
I havent looked into this, but could it be that Shiller includes dividends?
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Re: Shiller Data
Old 06-23-2004, 12:50 PM   #6
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Re: Shiller Data

Shiller separately lists dividends, so I think he would be double counting if he had them in the index as well. I compared his numbers, and his returns to the S&P 500 with dividends, and did not get a match.
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