{"title":"债券-股票收益差异模型:股票市场崩盘预测的附加应用及其他模型","authors":"Sébastien Lleo, W. Ziemba","doi":"10.1080/21649502.2015.1165905","DOIUrl":null,"url":null,"abstract":"In this second part, we discuss the predictive ability of the BSEYD model, applications of the BSEYD to the USA in 2007, Iceland in 2008, the Chinese stock market in 2009 and in 2015, and introduce other crash measures. These measures include the price-to-earnings ratio, Robert Shiller's Cyclically adjusted price-to-earnings ratio, Warren Buffet's ratio of the market value of all publicly traded stocks to the current level of the GNP and Sotheby's stock price.","PeriodicalId":438897,"journal":{"name":"Quantitative Finance Letters","volume":"75 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":"{\"title\":\"The bond-stock earnings yield differential model: additional applications and other models for stock market crash prediction\",\"authors\":\"Sébastien Lleo, W. Ziemba\",\"doi\":\"10.1080/21649502.2015.1165905\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this second part, we discuss the predictive ability of the BSEYD model, applications of the BSEYD to the USA in 2007, Iceland in 2008, the Chinese stock market in 2009 and in 2015, and introduce other crash measures. These measures include the price-to-earnings ratio, Robert Shiller's Cyclically adjusted price-to-earnings ratio, Warren Buffet's ratio of the market value of all publicly traded stocks to the current level of the GNP and Sotheby's stock price.\",\"PeriodicalId\":438897,\"journal\":{\"name\":\"Quantitative Finance Letters\",\"volume\":\"75 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2016-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"5\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Quantitative Finance Letters\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1080/21649502.2015.1165905\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quantitative Finance Letters","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/21649502.2015.1165905","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The bond-stock earnings yield differential model: additional applications and other models for stock market crash prediction
In this second part, we discuss the predictive ability of the BSEYD model, applications of the BSEYD to the USA in 2007, Iceland in 2008, the Chinese stock market in 2009 and in 2015, and introduce other crash measures. These measures include the price-to-earnings ratio, Robert Shiller's Cyclically adjusted price-to-earnings ratio, Warren Buffet's ratio of the market value of all publicly traded stocks to the current level of the GNP and Sotheby's stock price.
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