Identifying upside and downside performance potential for Flyer Fund Stocks in the high volatile market period, 2007-2011.
Catherine G. Camerota, Jacob A. Recker, Kelsey E. Stroble
Download Project (854 KB)
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.
Robert D. Dean
Primary Advisor's Department
Economics and Finance
Stander Symposium project
"Identifying upside and downside performance potential for Flyer Fund Stocks in the high volatile market period, 2007-2011." (2012). Stander Symposium Projects. 139.