Presenter(s)

Mark F. Kocoloski, Joseph D. Nitting

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Description

The purpose of this study is to examine the impact of sector idiosyncratic risk and beta on sector performance in three market periods: (1) overall period, 2005-2011, (2) the downswing period, 1-1-08 to 3-31-09, and (3) the upswing period, 3-31-09 to 12-31-10. Monthly data will be used to calculate beta and idiosyncratic risk. A time series regression for each sector, with the return of the sector as the dependent variable and the return to the market as the independent variable, is used to calculate sector betas. Then the error terms or the residuals are used to calculate idiosyncratic risk. Using 2011 as an out-of-sample time period, the annual returns to the 10 sectors are regressed on the long term betas and idiosyncratic risk. Because 2011 has very definitive upswing and downswing periods, the returns for these sub-periods are regressed on the upswing and downswing measures for beta and idiosyncratic risk. The results are forthcoming.

Publication Date

4-18-2012

Project Designation

Independent Research

Primary Advisor

Robert D. Dean

Primary Advisor's Department

Economics and Finance

Keywords

Stander Symposium project

Idiosyncratic Risk, Beta and S&P 500 Sector Performance in The Market Period 2005-2011

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