A statistic that I'm slowly accumulating is the "equity premium", which measures the premium that equities have in relation to 10-year gilts. I obtain an earnings yield by inverting the median PE ratio of the Footsie, and subtracting it from the 10-year gilt yieild (http://on.ft.com/rs7v9i). At the moment, the median PE is 12.07, which is below the historic average. This gives an earnings yield of 8.29%. The gilt yield is 2.42%, so the equity premium is 5.87%.
Despite this suggesting that the Footsie is slightly undervalued, a poster on the yahoo group macgicformulainvesting pointed to a couple of statistics that the market (at least the US stock market) is still expensive.
This is the ratio of the total market value of a firm to its total asset value. According to this link, the historic mean is 0.71, and the current value is 1.01; suggesting the market is currenlty overvalued. I've heard elsewhere that the Q-Ratio (aka Tobin-Q) is not necessarily a particularly reliable predictive statistic, though. The link concludes:
The mean-adjusted charts above indicate that the market remains significantly overvalued by historical standards ? by about 42% in the arithmetic-adjusted version and 54% in the geometric-adjusted version.
CAPE (Cyclically Adjusted PE), aka PE10, is a ratio of the price to 10-year average inflation-adjusted earnings. It is a way of adjusting for earnings cycles. According to this link, the PE on a TTM basis is slightly undervalued, but according to the PE10 ratio, it is near the top of the 4th quintile, suggesting an overvaluation.