Template-type: ReDif-Paper 1.0
Author-Name: Candelon Bertrand 
Author-Name: Ahmed Jameel 
Author-Name: Straetmans Stefan 
Author-workplace-name: METEOR
Title: Predicting and Capitalizing on Stock Market Bears in the U.S.
Abstract: This paper attempts to predict the bear conditions on the US stock market. To this aim weelaborate simple predictive regressions, static and dynamic binary choice (BCM) as well asMarkov-switching models. The in- and out-of-sample prediction ability is evaluated and we comparethe forecasting performance of various specifications across as well as within models. It turnsout that various dynamic extensions of static versions of probit and logit models revealadditional predictive information for both in- and out-of-sample fit. We also find that binarymodels outperform the Markov-switching model. With respect to the macro-financial variables, termsspreads, inflation and money supply turn out to be useful predictors. The results lead to usefulimplications for investors practicing active portfolio and risk management and for policy makersas tools to get early warning signals.
Keywords: macroeconomics ; 
Series: Research Memoranda
Creation-Date: 2012
Number: 019
File-URL: http://digitalarchive.maastrichtuniversity.nl/fedora/objects/guid:902d1334-59a2-44f6-a657-2a17956bee0b/datastreams/ASSET1/content
File-Format: application/pdf
File-Size: 366506
Handle: RePEc:unm:umamet:2012019