Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world
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- Lleo, Sébastien & Ziemba, William T., 2015. "Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world," International Journal of Forecasting, Elsevier, vol. 31(2), pages 399-425.
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Citations
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Cited by:
- Zakamulin, Valeriy & Hunnes, John A., 2021. "Stock earnings and bond yields in the US 1871–2017: The story of a changing relationship," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 182-197.
- Sébastien Lleo & William T. Ziemba, 2013.
"Stock Market Crashes In 2007–2009: Were We Able To Predict Them?,"
World Scientific Book Chapters, in: Oliviero Roggi & Edward I Altman (ed.), Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis, chapter 13, pages 457-499,
World Scientific Publishing Co. Pte. Ltd..
- S�bastien Lleo & William T. Ziemba, 2012. "Stock market crashes in 2007--2009: were we able to predict them?," Quantitative Finance, Taylor & Francis Journals, vol. 12(8), pages 1161-1187, July.
- Lleo, Sebastien & Ziemba, William, 2017.
"A tale of two indexes: predicting equity market downturns in China,"
LSE Research Online Documents on Economics
85131, London School of Economics and Political Science, LSE Library.
- Lleo, Sebastien & Ziemba, William, 2018. "A tale of two indexes: predicting equity market downturns in China," LSE Research Online Documents on Economics 118923, London School of Economics and Political Science, LSE Library.
- Shiryaev, Albert N. & Zhitlukhin, Mikhail N. & Ziemba, William T., 2014. "Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013," LSE Research Online Documents on Economics 59288, London School of Economics and Political Science, LSE Library.
- Lleo, Sebastien & Ziemba, William T., 2014. "Does the bond-stock earning yield differential model predict equity market corrections better than high P/E models?," LSE Research Online Documents on Economics 59290, London School of Economics and Political Science, LSE Library.
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More about this item
Keywords
stock market crashes; BSEYD and Fed models; long term investing;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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