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dc.contributor.authorGrobys, Klausen_US
dc.date.accessioned2012-03-21en_US
dc.date.accessioned2012-05-22T16:44:27Z-
dc.date.available2012-05-22T16:44:27Z-
dc.date.issued2012en_US
dc.identifier.citationJournal of Finance and Investment Analysis 2241-0996 International Scientific Press 1 2012 1 151-171en_US
dc.identifier.urihttp://hdl.handle.net/10419/58002-
dc.description.abstractThis contribution analyzes bull and bear markets from 1954:1-2011:2 in the US-stock index S&P 500. Thereby, a 2-State-Markov-Switching model is applied to figure out bull and bear market regimes within the latter period, whereby the estimated state probabilities are used to estimate a dummy variable model by employing operational criteria. A sample-split analysis, where the data set is divided into two samples of equal length, gives evidence for a structural break in the expectation of returns being associated with bull market regimes whereas no structural break can be ascertained concerning bear market regimes. This outcome has strong implications for modern asset allocation theory which takes the presence of regime switching into account as investors who expect a significant increase in stock returns would allocate a higher weight to stocks even though they would face bull market regimes at the time point when deciding on asset allocations.en_US
dc.language.isoengen_US
dc.publisherInternational Scientific Pressen_US
dc.subject.jelG12en_US
dc.subject.jelG14en_US
dc.subject.ddc330en_US
dc.subject.keywordstock marketen_US
dc.subject.keywordbull- and bear-marketsen_US
dc.subject.keywordMarkov-Switching modelen_US
dc.subject.keywordstructural breaken_US
dc.subject.keywordsample-split analysisen_US
dc.subject.keyworddummy-variable modelen_US
dc.subject.stwAktienmarkten_US
dc.subject.stwAktienindexen_US
dc.subject.stwStrukturbruchen_US
dc.subject.stwUSAen_US
dc.titleHave bull and bear markets changed over time? Empirical evidence from the US-stock marketen_US
dc.typeArticleen_US
dc.identifier.ppn688936989en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
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