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i used the raw data

That's the problem. Shiller's data is not raw data. It's a moving average of data that has been adjusted for changes in purchasing power. Compare Shiller's data with that of Aswath Damodaran for the years 1960-1998. http://www.stern.nyu.edu/~adamodar/New_Home_Page/datafile/spearn.htm

To give an example, Damodaran has S&P 500 earnings for 1982 of 13.82 while Shiller comes up with 12.64 for the same year.

If you go back to the onset of the Great Depression, there is a big disparity between Shiller's figures and other sources. The Department of Commerce has U.S. corporate profits after taxes going from $9.2 billion in 1929 to -$1.9 billion in 1932. For the Dow Jones Industrial Average, the comparable figures are 19.94 and d.51. But Shiller doesn't even have earnings approaching negative territory; they go from 1.61 in 1929 to .41 in 1932.

Shiller's data is not raw data.

jkm929
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