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008170927s2017    oncd    obs  f000 0 eng d
040 |aCaOODSP|beng
041 |aeng|bfre
043 |an-cn---
0861 |aFB3-5/2017-38E-PDF
1001 |aRoberts, Tom,|d1980-
24512|aA counterfactual valuation of the stock index as a predictor of crashes |h[electronic resource] / |cby Tom Roberts.
260 |a[Ottawa] : |bBank of Canada, |c2017.
300 |aii, 1, 58 p. : |bcol. charts
4901 |aBank of Canada staff working paper, |x1701-9397 ; |v2017-38
500 |a"September 2017."
504 |aIncludes bibliographical references (32-36).
5203 |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.
546 |aIncludes abstract in French.
69207|2gccst|aStock markets
69207|2gccst|aFinancial crisis
69207|2gccst|aForecasting
7102 |aBank of Canada.
830#0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2017-38|w(CaOODSP)9.806221
85640|qPDF|s1.16 MB|uhttps://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-38-eng.pdf