dc.contributor
Universitat Politècnica de Catalunya. Departament d'Enginyeria Química
dc.contributor
Efing, Matthias
dc.contributor
Pérez González, Juan Jesús
dc.contributor
Rosu, Alina
dc.contributor.author
Nahra Abi Samra García, Agustín
dc.date.accessioned
2026-02-18T02:37:52Z
dc.date.available
2026-02-18T02:37:52Z
dc.date.issued
2026-02-06
dc.identifier
https://hdl.handle.net/2117/455496
dc.identifier
PRISMA-197584
dc.identifier.uri
http://hdl.handle.net/2117/455496
dc.description.abstract
This research develops and back tests a dynamic valuation metric for the S&P 500 based on the Shiller P/E ratio, also known as the Cyclically Adjusted Price-to-Earnings (CAPE), providing a structured risk assessment from 0 (undervalued) to 1 (overvalued). Unlike static measures, the approach adjusts over time using rolling statistical metrics to establish a valuation corridor. Since it is a price-based metric, it can be accessed in real time allowing it to be systematically incorporated into long-term investment decisions. Back testing indicates improved returns compared to fixed investment strategies (Dollar-Cost Averaging, DCA), improving market evaluation for non-expert investors.
dc.description.abstract
Outgoing
dc.format
application/pdf
dc.publisher
Universitat Politècnica de Catalunya
dc.subject
Àrees temàtiques de la UPC::Economia i organització d'empreses
dc.subject
Stock exchanges
dc.subject
Investment analysis
dc.subject
Index fund, Dollar-Cost Averaging – DCA, Dynamic Dollar-Cost Averaging – dDCA, Shiller P/E Ratio, Shiller P/E Ratio risk metric, Passive investing
dc.subject
Borsa de valors
dc.subject
Anàlisi financera
dc.title
A dynamic valuation metric for S&P 500 based on Shiller P/E
