Boucher, Christophe; Jasinski, Alexandre; Tokpavi, Sessi - 2021
empirical regularity of a typical dynamic of stock returns following the occurrence of a mean reversion in the US Shiller CAPE …-sample regressions approximating the occurrence of mean reversion by the smoothed probability from a regime-switching model show superior … between the term spread as business cycle variable and the occurrence of mean reversion in the US Shiller CAPE ratio. For …