Is Regime Switching in Stock Returns Important in Asset Allocations?

• المؤلف الرئيسي: TU, Jun
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2008
• الموضوعات: investments; asset pricing tests; data generating process; regime switching; Bayesian analysis; Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/1107

The stock market undergoes regime switching between upturns and downturns. We provide a framework of making investment decisions that accounts for this regime switching together with asset pricing model uncertainty and parameter uncertainty. Once regime switching is incorporated, regardless of the d...