“What is the R- squared of CAPE 10 to future 10 year returns; from 1881 to 2017?”
I won’t live that long.
“What would CAPE 10 have told equity holders in September 1929 ?”
That they were going to lose a lot of money.
“CAPE 10 is inflation adjusted; does it have a higher R-squared for nominal or inflation adjusted future 10 year returns ?”
You tell me,
“How does one take data from NIPA ; imputations and all, to make margin adjustments to the S&P 500 ?”
I could care less, the market it grossly overvalued by a variety of metrics. If you believe differently, then buy some more.