Bubble detection and sector trading in real time
对1973年至2015年间美国11个以上行业的投机泡沫进行伪实时分析，基于泡沫信号构建交易策略，在扣除交易成本后获得最高收益和夏普比率，并优于买入持有等策略。
We conduct a pseudo real-time analysis of the existence and extent of speculative bubbles in 11+ US sectors over the period January 1973–May 2015. Based on computed bubble signals, a trading strategy is constructed which switches funds between the market index and those industry sectors that exhibit bubble dynamics. Our strategy generates the highest after-transaction-cost return and Sharpe ratio, and first-order stochastically dominates a range of alternative strategies we consider, including the buy-and-hold investment in the market index. Subsample analysis and specification checks confirm the robustness of our findings.