Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns
Dados Bibliográficos
| ID | 9717263 |
|---|---|
| Autores | Massimo Guidolin (0000-0002-2995-2529, 1University of Virginia), Allan Timmermann (0000-0002-1555-2268, 2University of California San Diego) |
| Ano | 2005 |
| Volume | 115 |
| Fascículo | 500 |
| Páginas | 111-143 |
| Data de publicação | 2005-01-01 |
| Peer Reviewed | Sim |
| Open Access | Sim |
| Tipo | ARTICLE |
| Periódico | The Economic Journal (JOURNAL) |
| Identificadores do periódico | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Editora | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.1111/j.1468-0297.2004.00962.x |
| OpenAlex | W1977968133 |
| Idioma | EN |
| Citações recebidas | 5 |
| Referências citadas | 34 |
This paper presents evidence of persistent 'bull' and 'bear' regimes in UK stock and bond returns and considers their economic implications from the perspective of an investor's portfolio allocation. We find that the perceived state probability has a large effect on the optimal asset allocation, particularly at short investment horizons. If ignored, the presence of such regimes gives rise to substantial welfare costs. Parameter estimation uncertainty, while clearly important, does not overturn the conclusion that predictability in the return distribution linked to the presence of bull and bear states has a significant effect on investors' strategic asset allocation. Copyright 2005 Royal Economic Society
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| Obras citantes distintas | 5 |
|---|---|
| Citações por ano | 0,25 |
| Intervalo de citações | 2006 - 2022 (17) |
| Velocidade de citação | historical |
| Altamente citado | Não |
| Tipos de citação | Neutras: 5 |