Presenter(s)

    George S. Cressy, Conor Flynn, Corey R. Pryor

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    Description

    Using twenty stocks from the Flyer Fund with equal representations for all ten S&P 500 sectors, an analysis was made to determine whether stocks had positive or negative excess returns over the period 2007-2010. Excess kurtosis (EK), a statistical measure for fat tail distributions was then calculated for the 20 stocks based on the excess return data. Using each stock's EK as the independent variable and 2011 stock returns as the dependent variable a cross sectional regression will be run to measure the impact of EK on stock price change. Results are forth coming.

    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

    An Analysis of Excess Stock Returns and Fat Tail Distributions for Flyer Fund Stocks in the Volatile Market Period of 2007 - 2011

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