I’ve posted Entry #336 to my weekly Valuation-Informed Indexing column at the Value Walk site. It’s called There Should Be More Research on How to Benefit from Long-Term Market Timing.
Juicy Excerpt: The throwaway comment is set forth early in the paper. The authors state in their Introduction that: “Market timing strategies using CAPE should not be profitable. However, we are not aware of any formal tests of such strategies.”
At least one formal test has been done. I know because I played an important role in seeing that it was done.