Presenter(s)

    Brandon M. Capicotto, Ryan D. Hunn

    Download

    Download Project (165 KB)

    Description

    The purpose of this study is to determine the odds or probability that an S&P 500 sector will have positive returns when the market has positive returns. Using monthly data for the ten S&P 500 sectors and the S&P 500, a linear probability model was developed for three time periods: (1) the complete 2005-2010 period, (2) the market downswing period, 12-31-07 to 3-31-09 and (3) the market upswing period, 3-31-09 to 12-31-10. For each of the periods we also calculated the average positive return for each sector. Using 2011 as the forecasting period based on the number of months of positive returns for the S&P 500 in 2011, we estimate the number of positive returns and the average expected return for each sector. Because 2011 has very distinct upswing and downswing periods, we develop our forecast estimate for these periods using the probability outcomes for the upswing and downswing periods sited above. The estimates are then matched against actual results in 2011. Results are forthcoming

    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

    A Linear Probability Model of the Likelihood of Positive Returns for the S&P 500 Sectors, 2005-2001

    Share

    COinS