Equity Fragility
构建了一个评估股市大幅下跌可能性的框架，通过逻辑回归模型发现估值、技术和宏观指标与市场崩盘相关，且该框架对衰退和非衰退时期均有效。
This article develops a formal framework for assessing the likelihood of large equity market drawdowns. The authors estimate a parsimonious logistic regression model for both the United States and a cohort of four additional developed markets and find that market crashes have historically been associated with a set of factors centered around valuation, technical, and macroeconomic indicators. The authors show that their framework is effective for both recessionary and nonrecessionary drawdowns. Finally, they show that, although the United States is a fundamental driver of market fragility globally, country-specific factors are still relevant for predicting the likelihood of large equity market drawdowns.