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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