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首页> 外文期刊>Journal of Finance and Investment Analysis >Have bull and bear markets changed over time? Empirical evidence from the US-stock market
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Have bull and bear markets changed over time? Empirical evidence from the US-stock market

机译：牛市和熊市是否随着时间而改变？来自美国股票市场的经验证据

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This 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.
机译：此贡献分析了美国股票指数S＆P 500中1954：1-2011：2的牛市和熊市。因此，采用了2状态-马尔可夫转换模型来确定后期的牛市和熊市制度，从而，通过使用操作标准，将估计的状态概率用于估计虚拟变量模型。样本分割分析将数据集分为两个等长的样本，这为预期收益与牛市制度相关的结构性突破提供了证据，而对于熊市制度则无法确定结构性突破。这一结果对现代资产分配理论产生了深远的影响，该理论考虑了制度转换的存在，因为投资者期望股票收益的显着增加将为股票分配更高的权重，即使他们在决定时将面临牛市制度关于资产分配。

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