Presenter(s)

    Michael A. Dahill

    Comments

    Presentation: 9:00-10:15, Kennedy Union Ballroom

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    Description

    In this study I look at the relationship between sector returns and sector return risk over two long run time periods: 2000-2019 and 2009-2019. The sub period 2009-2019 is particularly important because it is considered a bull market period after the 2008 economic and market recession. Given the efficient market hypothesis, I test to see if higher long term sector returns are associated with higher sector risk parameters. I use average annual returns and compound annual growth grates (CAGR) to measure sector returns and the variance and standard deviation of the returns to measure risks. I also test to determine if the long run sector risk measures show persistence by using the highly volatile out of sample period, 2020-2023, to determine if the sector returns fall within (1) Plus or minus one standard deviation and (2) Plus or minus two standard deviations of the long term sector return means

    Publication Date

    4-17-2024

    Project Designation

    Independent Research

    Primary Advisor

    Robert D. Dean, Jon A. Fulkerson, Henry G. Willmore

    Primary Advisor's Department

    Economics and Finance

    Keywords

    Stander Symposium, School of Business Administration

    Institutional Learning Goals

    Scholarship

    An Analysis of Risk-Return Parameters for 9 S&P 500 Sectors, 2000-2019

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