Author: Maheu, John M.; McCurdy, Thomas H.; Song, Yong
Title: Bull and Bear Markets During the COVID-19 Pandemic Cord-id: n7wierop Document date: 2020_12_3
ID: n7wierop
Snippet: The COVID-19 pandemic has caused severe disruption to economic and financial activity worldwide. We assess what happened to the aggregate U.S. stock market during this period, including implications for both short and long-horizon investors. Using the model of Maheu, McCurdy and Song (2012), we provide smoothed estimates and out-of-sample forecasts associated with stock market dynamics during the pandemic. We identify bull and bear market regimes including their bull correction and bear rally co
Document: The COVID-19 pandemic has caused severe disruption to economic and financial activity worldwide. We assess what happened to the aggregate U.S. stock market during this period, including implications for both short and long-horizon investors. Using the model of Maheu, McCurdy and Song (2012), we provide smoothed estimates and out-of-sample forecasts associated with stock market dynamics during the pandemic. We identify bull and bear market regimes including their bull correction and bear rally components, demonstrate the model's performance in capturing periods of significant regime change, and provide forecasts that improve risk management and investment decisions. The paper concludes with out-of-sample forecasts of market states one year ahead.
Search related documents:
Co phrase search for related documents- Try single phrases listed below for: 1
Co phrase search for related documents, hyperlinks ordered by date