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• W3125914525 abstract "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." @default.
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• W3125914525 date "2018-06-08" @default.
• W3125914525 modified "2023-09-27" @default.
• W3125914525 title "Bubble detection and sector trading in real time" @default.
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• W3125914525 doi "https://doi.org/10.1080/14697688.2018.1459811" @default.
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