Nonlinear duration dependence in stock market cycles

We reexamine duration dependence in stock market cycles using a generalized Weibull model. Recent empirical work by Cochran and DeFina [Cochran, S. J., & DeFina, R. H. (1995). Duration dependence in the U.S. stock market cycle: A parametric approach. Applied Financial Economics, 5, 309–318.], who use a chronology of stock market cycles to estimate a Weibull hazard model, shows duration dependence in stock prices. They find evidence of duration dependence in prewar market expansions and postwar market contractions. We update their postwar sample, then use a more flexible model that finds evidence of duration dependence for all prewar and postwar samples. The generalized Weibull model is shown to be statistically superior to the conventional Weibull model for all samples except prewar expansions.(This abstract was borrowed from another version of this item.)