Economic Implications of Bull and Bear Regimes in UK Stock Returns ∗

@inproceedings{Guidolin2002EconomicIO,
  title={Economic Implications of Bull and Bear Regimes in UK Stock Returns ∗},
  author={Massimo Guidolin},
  year={2002}
}
This paper presents evidence of persistent ‘bull’ and ‘bear’ regimes in UK stock returns and considers their economic implications from the perspective of an investor’s portfolio decisions. We Þnd that the perceived state probability has a large effect on the optimal allocation to stocks, particularly at short investment horizons. If ignored, the presence… CONTINUE READING