Two centuries of bull and bear market cycles

Very few economic phenomena attract more attention than bull and bear market cycles do, and there is also agreement that bull markets are associated with persistently rising share prices, strong investor interest, and enhanced financial well-being. This paper identifies bull and bear market turning points using a formal turning-point identification procedure and finds that the bull and bear market phases are associated with distinct and persistent mean return shifts. The analysis highlights return evidence that distinguishes bull markets as distinct investment return regimes. The paper also emphasizes the properties of bull markets that can be important to investors, including the persistence of return differences between bull and bear markets as well as interrelationships amongst bull markets and investor interest.