  The COVID-19 pandemic has caused severe disruption to economic and financial
activity worldwide. We assess what happened to the aggregate U.S. stock market
during this period, including implications for both short and long-horizon
investors. Using the model of Maheu, McCurdy and Song (2012), we provide
smoothed estimates and out-of-sample forecasts associated with stock market
dynamics during the pandemic. We identify bull and bear market regimes
including their bull correction and bear rally components, demonstrate the
model's performance in capturing periods of significant regime change, and
provide forecasts that improve risk management and investment decisions. The
paper concludes with out-of-sample forecasts of market states one year ahead.
