Showing 1 - 10 of 13
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...
Persistent link: https://www.econbiz.de/10009511671
Persistent link: https://www.econbiz.de/10009763253
Persistent link: https://www.econbiz.de/10011382877
This contribution studies the out-of-sample performance of trading strategies applying 2-State-Markov-Switching models. Thereby, different probability thresholds are considered where the investor decides when to go in, respectively, out of the stock market. Furthermore, the investor may decide...
Persistent link: https://www.econbiz.de/10009540029
Persistent link: https://www.econbiz.de/10011705358
Persistent link: https://www.econbiz.de/10014466245
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...
Persistent link: https://www.econbiz.de/10010286823
Persistent link: https://www.econbiz.de/10011481406
This paper shows that growth in average firm size in U.S. industrial portfolios predicts future growth in average firm size. Moreover, the payoffs of industrial portfolios sorted by growth in average firm size in the previous period increase linearly as we move from lowest to highest growth in...
Persistent link: https://www.econbiz.de/10012920614
This study explores whether the credit risk anomaly exhibits option-like behavior similar to the momentum anomaly. Employing a market-timing regression model as in Daniel and Moskowitz (2013), it finds that the inverted credit risk spread indeed displays option-like behavior in bear market...
Persistent link: https://www.econbiz.de/10012996318