Financial crashes prediction using the bseyd model: evidence in several emerging markets countries

Mora, AndresFranco, Liliana Patricia Campos2020-09-252020-09-252020-01-302019-12http://hdl.handle.net/10362/104698This work aims to predict financial market crashes inseveral emerging countries. For this purpose, the Bond Stock Earning Yield Differential (BSEYD) model proposed by Ziemba and Schwartz (1991)is applied to the market indexes of Brazil, Mexico, Greece, Czech Republic, Turkey, India, Indonesia,and Taiwan. This model is based on the relationship between the yield on nominal Treasury bonds and the returns on stocks (measured by the Price/Earnings stocks ratio of the Stock Market Index). As a main result, this study finds that, on average, 68.3% of crashes are predicted correctly.engCrash predictionSignalsBseyd modelEmerging marketsFinancial crashes prediction using the bseyd model: evidence in several emerging markets countriesmaster thesis202493326