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dc.contributor.authorGrobys, Klausen
dc.date.accessioned2012-03-21-
dc.date.accessioned2012-05-22T16:44:27Z-
dc.date.available2012-05-22T16:44:27Z-
dc.date.issued2012-
dc.identifier.citation|aJournal of Finance and Investment Analysis|c2241-0996|v1|h1|nInternational Scientific Press|y2012|p151-171en
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
dc.language.isoengen
dc.publisher|aInternational Scientific Pressen
dc.subject.jelG12en
dc.subject.jelG14en
dc.subject.ddc330en
dc.subject.keywordstock marketen
dc.subject.keywordbull- and bear-marketsen
dc.subject.keywordMarkov-Switching modelen
dc.subject.keywordstructural breaken
dc.subject.keywordsample-split analysisen
dc.subject.keyworddummy-variable modelen
dc.subject.stwAktienmarkten
dc.subject.stwAktienindexen
dc.subject.stwStrukturbruchen
dc.subject.stwUSAen
dc.titleHave bull and bear markets changed over time? Empirical evidence from the US-stock market-
dc.typeArticleen
dc.identifier.ppn688936989en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
econstor.citation.journaltitleJournal of Finance and Investment Analysisen
econstor.citation.issn2241-0996en
econstor.citation.volume1en
econstor.citation.issue1en
econstor.citation.publisherInternational Scientific Pressen
econstor.citation.year2012en
econstor.citation.startpage151en
econstor.citation.endpage171en

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