r market months would be categorized as a bear market month. The authors use this as an intermediate measure of market conditions.
The third measure is a long-term approach that defines a bull market as one in which a 10 percent increase from the previous low is achieved. Similarly, a bear market under this definition is one in which a 10 percent decline from a previous high is reached. This is a long-term measurement because a 10 percent change in either direction can take as long as a year to materialize.
Using these definitions, the authors note a positive relationship between portfolio yield and portfolio return during bear markets and a negative relationship between portfolio yield and portfolio return during bull markets (310). This means that the level of return and yield move together during bear (down) markets, and move in opposite directions
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