Are Bull and Bear Markets Economically Important?

摘要：

As fluctuations of the stock market have long been classified into bull and bear markets, investors encounter regime-switching uncertainty in investing. In this paper, we propose a novel way of incorporating regime-switching and model uncertainties into portfolio choice decisions. We find that risks and returns vary greatly across bull and bear regimes, and the certainty-equivalent losses associated with ignoring bull and bear markets are fairly large. Therefore, the economic value of incorporating regime-switching is substantial from an investment perspective.

作者: JUN TU

作者单位: 50 Stamford Road, Lee Kong Chian School of Business, Singapore Management University, Singapore, 178899

会议类型: 国际会议

会议名称: 2005年中国金融国际年会

会议地点: 昆明

会议语种:英文

页码: 1-54

在线出版日期: 2005-07-05（万方平台首次上网日期，不代表论文的发表时间）