The Fear Premium and Daily Comovements of the S&P 500 E/P ratio and Treasury Yields before and during the 2008 Financial Crisis-Reference-Cited by-同舟云学术

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The Fear Premium and Daily Comovements of the S&P 500 E/P ratio and Treasury Yields before and during the 2008 Financial Crisis

Published:2013-07-09 Issue:3 Volume:22 Page:171-207
ISSN:0963-8008
Container-title:Financial Markets, Institutions & Instruments
language:en
Short-container-title:Financial Markets, Institutions & Instruments

Author:

Faugère Christophe

Publisher

Wiley

Subject

General Economics, Econometrics and Finance,Finance

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/fmii.12009/fullpdf

Reference36 articles.

1. Real-Time Measurement of Business Conditions;Aruoba;Journal of Business and Economic Statistics,2009

2. Fight the Fed Model;Asness;Journal of Portfolio Management,2003

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4. Some Historical Perspectives on the Bond-Stock Yield Model for Crash Prediction Around the World;SSRN Electronic Journal;2014

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