This study investigates asymmetric mean reversion in the real returns of large- and small-cap US stocks for one- to ten-year periods. The return distributions are estimated with 1,000 random block bootstraps of 240-month returns from 1926-2017. Large-cap stock returns show significant asymmetric...

This study assesses the usefulness of flexible optimal models of business cycle variables for predicting stock market returns. We find that variable estimation periods identify structural breaks in months with large absolute returns and the optimal models recognize regime switches. Flexible...

This paper studies 60 months of recent returns to examine relationships between bitcoin and 16 exchange- traded funds of currencies, bonds, stocks, commodities, and alternative assets. Bitcoin provides much higher returns, positive skewness, volatility and extreme returns, than all the other...