Presenter(s)

    Catherine G. Camerota, Jacob A. Recker, Kelsey E. Stroble

    Download

    Download Project (854 KB)

    Description

    The purposer of this study is to determine if historical measures of upside and downside capture ratios can be used to determine the future performance of Flyer Fund stocks. Monthly upside and downside capture ratios were calculated for 20 Flyer Fund stocks over the period 2007-2012. Using cross sectional regression analysis, the returns for the 20 stocks in 2011 were regressed on the average upside and downside capture ratios for each stock calculated over the 07-10 period. The results indicate that a combination upside/downside capture ratio is useful in predicting shortterm stock performance.

    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

    Identifying upside and downside performance potential for Flyer Fund Stocks in the high volatile market period, 2007-2011.

    Share

    COinS