Stock trading has tremendous importance not just as a profession but also an income source for individuals. Many investment account holders use the appreciation of their portfolio (as combination stocks or indexes) retirement years, mostly betting on indexes with low risk/low volatility. However, every stock-based inherent risk to lose money through negative progression and crash. This study pr...

Given two virtually separate literatures on return predictability and the risk-return relation, this paper reconciles the two literatures by investigating the underlying mechanism of the return predictability literature through exploiting the risk-return relation. In developing an empirical model to examine the business cycles-risk-return relationship, we consider the fact that market volatilit...

Risk management of drawdowns and portfolio optimization with drawdown constraints is becoming increasingly important among practitioners. In this paper, we introduce new types of contracts which depend on the maximum drawdown or on the average drawdown. Trading drawdown contracts would address directly the concerns of portfolio managers who would like to manage them. The maximum or the average ...

We provide a historical background on Ziemba’s experiences and research on the bondstock earnings yield differential model (BSEYD), from the time he first used it in Japan in 1988 through to the present in 2014. Over this period, the model has called many crashes, but not all. Those called have had high interest rates in long term bonds relative to the trailing earnings to price ratio. In gener...

This paper considers a variety of econometric models for the joint distribution of stock and bond returns in the presence of regime switching dynamics. While simple twoor three-state models capture the univariate dynamics in bond and stock returns, a more complicated four state model with regimes characterized as crash, slow growth, bull and bull burst states is required to capture the joint di...

This paper investigates the optimal dynamic investment for an investor who maximizes constant absolute risk aversion (CARA) utility in a discrete-time market with a riskfree bond and a risky stock. The risky stock is assumed to present both the dividend risk and the price risk. With our assumptions, the dividend risk is equivalent to fundamental risk, and the price risk is equivalent to the noi...

generally, high oil prices slow economic growth, cause inflationary pressures and creates global imbalances. in addition, oil price volatility increase uncertainty and restrain the much-needed investment in the capital market. thus, this paper applies the augmented dickey fuller and johansen co-integration tests in which the effect of oil price volatility, crude oil price and stock price is ana...

prevalence of chronic disease could be adversely having an effect on the capability of the driver. in addition, it must increase probability of accidents. the aim of this study was to examine the relationship between chronic medical conditions and contribution in crashes among drivers. in this cross-sectional study, the populations were professional truck drivers. the numbers of 323 people were...