Duration dependence in the US stock market cycle: a parametric approach

摘要: This study uses parametric hazard models to investigate duration dependence in US stock market cycles over the January 1885 July 1992 period. The results show that exists pre-World War II expansions and post-World contractions. Pre-war contractions post-war expansions, however, do not exhibit dependence. Additionally, evidence suggests has reduced time, while increased. Duration is consistent with predictable price behaviour. Although formally addressed this study, predictability may arise from either temporary ‘fads’ pricing of securities or time-varying required returns. Regardless source, shift pattern a change occurred cyclical behaviour during period studied. Discrete shifts trends mean phase exist, indicating t...