Capital Wars by Michael Howell. Gimmicky title but maybe the best investing book Ive ever read. You do need to know some economics for it though.
> I'd be interested in links to the research.
It's from Capital Wars just recently came out.
> I imagine more obscure metrics like liquidity/money supply might be even harder to get for non-US countries and especially for emerging market countries.
Yeah I feel like this would require a Bloomberg-like subscription to keep the data timely and accurate.
> I do use the metric proposed here to evaluate valuation of US market and forecast expected 10 year equity returns, but the reporting is so delayed that I have to use change in P/E since the last published data to estimate current valuation.
I remember that PE piece from a few years ago, and the author in Capital Wars (he has a PhD in econ) definitely builds up from that model. He also compares P/M against Shiller CAPE and comes up with similar results as the PE guy. The P/M metric had an R^2 similar to PE's asset allocation model, they're both essentially expressing the same concept: Global investor asset allocations largely influence market returns.