From Grasping Reality with eight Tentacles by Bradford DeLong:
Aaron Edlin asks whether anybody has updated Campbell and Shiller's original 1996 mean-reversion regressions to include the extra decade and a half of data we have obtained since.
Here is the original (with monthly data):
And here is the updated (with monthly data):
This is a major, major, empirical win for Campbell and Shiller. This is why only fools say today that movements in market-wide price-earnings ratios are best interpreted as shifts in rational expectations of future earnings and dividend growth. Instead, they are best interpreted as do to fads and fashions in how much people are willing to nerve themselves to pay for a dollar of earnings today--or, if you prefer and are willing to ignore all the survey and psychological evidence, massive shifts in the curvature of the representative investor's von Neumann-Morgenstern utility function.