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Bull and bear markets during the COVID-19 pandemic.
Maheu, John M; McCurdy, Thomas H; Song, Yong.
  • Maheu JM; DeGroote School of Business, McMaster University, Canada.
  • McCurdy TH; Rotman School of Management, University of Toronto, 105 St. George Street, Toronto, ON M5S 3E6, Canada.
  • Song Y; Department of Economics, University of Melbourne, Australia.
Financ Res Lett ; 42: 102091, 2021 Oct.
Article in English | MEDLINE | ID: covidwho-1275318
ABSTRACT
The COVID-19 pandemic has caused severe disruption worldwide. We analyze the aggregate U.S. stock market during this period, including implications for both short and long-horizon investors. We identify bull and bear market regimes including their bull correction and bear rally components, demonstrate our model's performance in capturing periods of significant regime change, and provide weekly forecasts that improve risk management and investment decisions. An investment strategy that uses out-of-sample forecasts for market states outperforms a buy and hold strategy during the pandemic by a wide margin, both in terms of annualized returns and Sharpe ratios.
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Full text: Available Collection: International databases Database: MEDLINE Type of study: Prognostic study Language: English Journal: Financ Res Lett Year: 2021 Document Type: Article Affiliation country: J.frl.2021.102091

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Full text: Available Collection: International databases Database: MEDLINE Type of study: Prognostic study Language: English Journal: Financ Res Lett Year: 2021 Document Type: Article Affiliation country: J.frl.2021.102091