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...
Long-Term Debt and Hidden Borrowing
The Review of Corporate Finance Studies, Volume 3, Issue 1-2, Pages 87–122
The Great Risk/Return Inversion - Who Loses Out?
Risk and return go hand in hand as companion variables central to the teaching and practice of economics and finance. Standard theory and common sense...
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...
Ballooning Finance
The Global Crisis has intensified debates over the merits of financial innovation and the optimal size of the financial sector. This column presents a...
The Concept of Systemic Risk
The aim of the study is to analyze the concept of systemic risk. The study reviews a multitude of systemic risk definitions in the literature. In...
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...
Macroprudential oversight, risk communication and visualization
This paper discusses the role of risk communication in macroprudential oversight and of visualization in risk communication. Beyond the soar in data...
Simecs, Ithace Hours, Berkshares, Bitcoins and Walmarts
The practical and theoretical meaning of the rise and fall of new local and virtual currencies suggests that two basic theories of money both have...
What Happened in Cyprus? The Economic Consequences of the Last Communist Government in Europe
This paper reviews developments in the Cypriot economy following the introduction of the euro on 1 January 2008 and leading to the economic collapse...
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...
How Insurers Differ from Banks: A Primer on Systemic Regulation
This paper aims at providing a conceptual distinction between banking and insurance with regard to systemic regulation. It discusses key differences...
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...
