Stock Market Crashes in 2007–2009: Were We Able to Predict Them?

Ziemba, Rachel E. S.; Ziemba, William T.

doi:10.1142/9789814417501_0013

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2017

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“…The BSEYD has since been used successfully on a number of international markets (see the review article Lleo and Ziemba, 2015b), and the 2007-2008 SHCOMP meltdown (Lleo and Ziemba, 2012).…”

Section: Scope Of the Studymentioning

confidence: 99%

“…Fundamental models use fundamental variables such as stock prices, corporate earnings, interest rates, inflation or GNP to forecast crashes. The Bond-Stock Earnings Differential (BSEYD) measure (Ziemba and Schwartz, 1991;Lleo and Ziemba, 2012, 2015b, 2017 is the oldest model in this category, which also includes the CAPE (Lleo and Ziemba, 2017) and the ratio of the market value of all publicly traded stocks to the current level of the GNP (MV/GNP) that Warren Buffett popularized Loomis, 1999, 2001;Lleo and Ziemba, 2015a).…”

Section: Introductionmentioning

confidence: 99%

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A Tale of Two Indexes: Predicting Equity Market Downturns in China

Lleo

Ziemba

2017

SSRN Journal

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Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly for use on mature financial markets. In this paper, we investigate whether traditional crash predictors, the price-to-earnings ratio, the Cyclically Adjusted Price-to-Earnings ratio and the Bond-Stock Earnings Yield Differential model, predicts crashes for the Shanghai Stock Exchange Composite Index and the Shenzhen Stock Exchange Composite Index.

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“…The BSEYD has since been used successfully on a number of international markets (see the review article Lleo and Ziemba, 2015b), and the 2007-2008 SHCOMP meltdown (Lleo and Ziemba, 2012).…”

Section: Scope Of the Studymentioning

confidence: 99%