Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world
We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting...
Land and Stock Bubbles, Crashes and Exit Strategies in Japan Circa 1990 and in 2013
We study the land and stock markets in Japan circa 1990 and in 2013. While the Nikkei stock average in the late 1980s and its -48% crash in 1990 is...
Does the Bond-Stock Earning Yield Differential Model Predict Equity Market Corrections Better Than High P/E Models?
In this paper, we extend the literature on crash prediction models in three main respects. First, we relate explicitly crash prediction measures and...
The Determinants of Systemic Importance
This paper empirically analyses the determinants of banks’ systemic importance. With applying a novel measure on the systemic importance to US bank...
Bitcoin and the PPP Puzzle
This paper approaches the PPP puzzle by using the Bitcoin/US Dollar exchange rate. The use of the virtual currency as macroeconomic laboratory allows...
Optimal Capital Growth with Convex Shortfall Penalties
The optimal capital growth strategy or Kelly strategy, has many desirable properties such as maximizing the asympotic long run growth of capital...
Custody Chains and Remoteness: Disconnecting Investors from Issuers
This paper shows that the current market infrastructure systemically prevents investors, both shareholders and bondholders, from exercising their...
Moral Hazard and Debt Maturity
We present a model of the maturity of a bank’s uninsured debt. The bank borrows funds and chooses afterwards the riskiness of its assets. This moral...
The Economics of Collateral
In this paper we study how the use of collateral is evolving under the influence of regulatory reform and changing market structure. We start with a...
The Economics of Collateral
In this paper we study how the use of collateral is evolving under the influence of regulatory reform and changing market structure. We start with a...
Model Risk of Risk Models
This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models...
Activist Funds, Leverage, and Procyclicality
We provide a theoretical framework to study blockholder activism by funds who compete for investor flow. In our model, activists are intrinsically...
Ties that Bind: How business connections affect mutual fund activism
We investigate how business ties with portfolio firms influence mutual funds’ proxy voting using a comprehensive dataset spanning 2003 to 2011. In...
Diversification and Financial Stability
This paper contributes to a growing literature on the pitfalls of diversification by shedding light on a new mechanism under which, full risk...
Product Market Competition and Industry Returns
This paper shows that product market competition has two opposing effects on asset returns. The first relates to the procyclical nature of the value...
Liquidity Risk and the Dynamics of Arbitrage Capital
We develop a dynamic model of liquidity provision, in which hedgers can trade multiple risky assets with arbitrageurs. We compute the equilibrium in...
