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Stock Market Crashes: Predictable and Unpredictable and What to Do About Them.

9789813222618

Stock Market Crashes: Predictable and Unpredictable and What to Do About Them

William T. Ziemba, Sebastien Lleo, and Mikhail Zhitlukhin

World Scientific

2018

290 pages

$35.00

World Scientific Series in Finance; Volume 13

HB3722

The authors present models that predict large stock market crashes, and also discuss small declines. They address the bond-stock earnings yield differential model based on the 1987 US stock market crash and apply it to markets like Japan and the US; discuss the short window 2007-2009 crash period in the US, China, and Iceland; and compare the bond-stock earnings yield differential model with Campbell and ShillerAEs high price-earnings models. They describe other prediction models for large crashes, including SothebyAEs stock price prediction model and Warren BuffettAEs ratio of the value of the stock market to the value of the economy; examine the positive effect of the Fed meetings and small-cap dominance; discuss the approaches of investor Marty Zweig in making buy/sell or entry/exit decisions in financial markets using Fed information; and consider smaller declines that are largely unpredictable but can be dealt with, the Shiryaev and Zhitlukhin stopping rule model for exiting bubble-like markets, and how to include crash predictions made by these models as scenarios in stochastic investment models. ([umlaut] Ringgold, Inc., Portland, OR)

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Title Annotation:William T. Ziemba, Sebastien Lleo, and Mikhail Zhitlukhin
Publication:ProtoView
Article Type:Book review
Date:Nov 1, 2017
Words:213
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