The Role of Quality in S&P 500 Stock Returns: An Empirical Analysis 2007-2015

Title

The Role of Quality in S&P 500 Stock Returns: An Empirical Analysis 2007-2015

Authors

Presenter(s)

Sam William Verrilli

Files

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 poster

The Role of Quality in S&P 500 Stock Returns: An Empirical Analysis 2007-2015

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