@article{Predictability:662,
      recid = {662},
      author = {van Norden, Simon and Schaller, Huntley},
      title = {The Predictability of Stock Market Regime: Evidence from  the Toronto Stock Exchange},
      publisher = {Bank of Canada},
      address = {1991},
      pages = {1 online resource (21 pages plus figures)},
      abstract = {Are stock market crashes related to deviations from the  apparent fundamental share price? Using a  switching-regression framework, we test whether apparent  deviations help to predict the regime from which the next  period's stock market return is drawn and the magnitude of  returns in that regime. We find that the ex ante  probability of a collapse rises before most actual crashes.  Likelihood ratio tests confirm that regime switches are  influenced by apparent deviations.},
      url = {http://www.oar-rao.bank-banque-canada.ca/record/662},
      doi = {https://doi.org/10.34989/swp-1991-6},
}