债券-股票收益差异模型比高市盈率模型更能预测股市回调吗?

Q1 Economics, Econometrics and Finance

Financial Markets, Institutions and Instruments Pub Date : 2017-04-12 DOI:10.1111/fmii.12080

Sébastien Lleo, William T. Ziemba

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引用次数: 20

摘要

我们以三种主要方式扩展了关于碰撞预测模型的文献。首先，我们明确地将崩溃预测措施与资产定价模型联系起来。其次，我们提出了碰撞预测模型的统计显著性检验。最后，我们提出了这些模型的定义和鲁棒性度量。我们应用我们的统计检验，并测量了所选模型规范的市盈率(P/E)和债券股票收益收益率差(BSEYD)措施的稳健性。这一分析表明，在1964年至2014年期间，市净率和市盈率在统计上是美国股市修正的重要预测指标。

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Does the bond-stock earnings yield differential model predict equity market corrections better than high P/E models?

We extend the literature on crash prediction models in three main ways. First, we explicitly relate crash prediction measures and asset pricing models. Second, we present a statistical significance test for crash prediction models. Finally, we propose a definition and a measure of robustness for these models. We apply our statistical test and measure the robustness of selected model specifications of the Price-Earnings (P/E) ratio and Bond Stock Earning Yield Differential (BSEYD) measures. This analysis shows that the BSEYD and P/E ratios, were statistically significant robust predictors of corrections on the US equity market over the period 1964 to 2014.

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来源期刊

Financial Markets, Institutions and Instruments Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

1.80

自引率

0.00%

发文量

期刊介绍： Financial Markets, Institutions and Instruments bridges the gap between the academic and professional finance communities. With contributions from leading academics, as well as practitioners from organizations such as the SEC and the Federal Reserve, the journal is equally relevant to both groups. Each issue is devoted to a single topic, which is examined in depth, and a special fifth issue is published annually highlighting the most significant developments in money and banking, derivative securities, corporate finance, and fixed-income securities.