Every month, I calculate the US equity markets valuation. There is little data on Europe, but someone sent me a Morgan Stanley Document with a slew of data on European market valuations.
Ignoring all the noise about the troika, haircuts, insurance policy; almost all the quantitve indicators indicate a very cheap Europena market. The numbers are as of October 3rd, 2011 (markets are up ~10% in the US and Europe since then). I a going to do some comps to US market valuation on that date. The numbers in the chart below are based on Morgan Stanley numbers for MSCI/Europe, and my own calculations. I also broke up the numbers for the UK, Germany and France. Overall it seems the market valuations are far cheaper in Europe than the US.
Below is a table, which I put together (European wide numbers exclude financial co.s, country specific numbers include them).
Full document can be found below, and a chart of the Shiller Pe for France and Germany.