Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns
发现英国股票和债券收益中存在持续的牛市和熊市状态，并分析其对投资者资产配置的影响，指出忽略这些状态会导致显著的福利成本。
This paper presents evidence of persistent 'bull' and 'bear' regimes in UK stock and bond returns and consider their economics 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, particulary at short investment horizons. If ignored the presence of such regimes gives 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. © Royal Economic Society 2005.