Investors are no longer skeptical enough about corporate earnings and in turn have made the U.S. stock market the most expensive in the world, Nobel Prize winner Robert Shiller told CNBC on Tuesday.

In fact, he cautions that a bear market could come without warning. However, Shiller said he doesn't feel as pessimistic as he did in 2000, when he wrote the book "Irrational Exuberance" shortly before the dot-com bubble burst.

"Sometimes I think these are crazy times but it's not particularly that people are talking the way they did at the peak of the new millennium. … We're not there," Shiller said on "Power Lunch."

"The market could go up for years. I'm not very able to predict turning points. I do think it's risky now. This is a risky time, especially investing in the U.S. – the most expensive country in the world," he added.