Presenter(s)
Sam William Verrilli
Files
Download Project (202 KB)
Description
In this study, high quality stocks are defined as stocks with high returns on equity (ROE). Low quality stocks have low ROEs. The first hypothesis to be tested is that high ROE stocks outperform low ROE stocks over long periods of time (the persistence factor). A second hypothesis to be tested is that high ROE stocks outperform low ROE stocks in periods of market downturns and high volatility. A third hypothesis to be tested is that low ROE stocks outperform during market rebound periods. S&P 500 stocks are used in the analysis and the S&P 500 SPDR ETF (SPY) is used as a performance benchmark.
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 project
Recommended Citation
"The Role of Quality in S&P 500 Stock Returns: An Empirical Analysis 2007-2015" (2017). Stander Symposium Projects. 972.
https://ecommons.udayton.edu/stander_posters/972