The Impact of Volatility on S&P 500 Stock Market Returns: A Closer Look at the Bloomberg Propagation Model

Title

The Impact of Volatility on S&P 500 Stock Market Returns: A Closer Look at the Bloomberg Propagation Model

Authors

Presenter(s)

Daniel Robert Caponi

Files

Description

In recent years the stock market has experienced wide swings in market value much more frequently. Taking the Dow Jones Index as an example, it is not uncommon to see daily swings of 200 points or more in the DOW Index. In this study I examine the impact of volatility on stock returns. Using the Bloomberg Propagation Model I determine which stocks by market sector are less sensitive to market volatility. I take the top 5 stocks in each sector and develop a “Volatility Dampening Portfolio” (V). Using two weighting strategies, market value and expected return, I develop a 50 stock portfolio and determine its performance over the period 2010-2016. I test the hypothesis that V outperforms the market in highly volatile market periods.

Publication Date

4-5-2017

Project Designation

Independent Research - Undergraduate

Primary Advisor

Trevor C Collier

Primary Advisor's Department

Economics and Finance

Keywords

Stander Symposium poster

The Impact of Volatility on S&P 500 Stock Market Returns: A Closer Look at the Bloomberg Propagation Model

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