Regime switches also lead to potentially large consequences for investors' optimal portfolio choice hence the importance of the subject.
In relation to Regime Changes and Financial Markets, Andrew Ang, from Columbia University and NBER, and Allan Timmermann from the University of California, San Diego, made an interesting study in June 2011-
Regime Changes and Financial Markets:
*Hence the reason why retail investors have been net sellers of stocks since 2007.
"The seed of revolution is repression." - Woodrow Wilson