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| 01990cam 2200313za 4500 |
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001 | 9.844616 |
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003 | CaOODSP |
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005 | 20221107152801 |
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007 | cr ||||||||||| |
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008 | 170927s2017 oncd obs f000 0 eng d |
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040 | |aCaOODSP|beng |
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041 | |aeng|bfre |
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043 | |an-cn--- |
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086 | 1 |aFB3-5/2017-38E-PDF |
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100 | 1 |aRoberts, Tom,|d1980- |
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245 | 12|aA counterfactual valuation of the stock index as a predictor of crashes |h[electronic resource] / |cby Tom Roberts. |
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260 | |a[Ottawa] : |bBank of Canada, |c2017. |
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300 | |aii, 1, 58 p. : |bcol. charts |
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490 | 1 |aBank of Canada staff working paper, |x1701-9397 ; |v2017-38 |
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500 | |a"September 2017." |
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504 | |aIncludes bibliographical references (32-36). |
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520 | 3 |a“Stock market fundamentals would not seem to meaningfully predict returns over ashorter-term horizon—instead, the author shifts focus to severe downside risk (i.e., crashes). The author uses the cointegrating relationship between the log S&P Composite Index and log earnings over 1871 to 2015, combined with smoothed earnings, to first construct a counterfactual valuation benchmark. The price-versus-benchmark residual shows an improved, and economically meaningful, logit estimation of the likelihood of a crash over alternatives such as the dividend yield and price momentum. Rolling out-of-sample estimates highlight the challenges in this task. Nevertheless, the overall results support the common popular belief that a higher stock market valuation in relation to fundamentals entails a higher risk of a crash"--Abstract, p. ii. |
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546 | |aIncludes abstract in French. |
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692 | 07|2gccst|aStock markets |
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692 | 07|2gccst|aFinancial crisis |
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692 | 07|2gccst|aForecasting |
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710 | 2 |aBank of Canada. |
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830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2017-38|w(CaOODSP)9.806221 |
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856 | 40|qPDF|s1.16 MB|uhttps://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-38-eng.pdf |
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