The information content of implied volatilities and intraday returns is compared in the context of forecasting index volatility over horizons from 1 to 20 ... BJ Blair,SH Poon,SJ Taylor,... - 《Journal of Econometrics》 被引量: 714发表: 2010年 Modelling S&P 100 volatility: The information co...
The strategy seeks to provide similar returns to the S&P 500 Index, with lower volatility and downside risks, in most market environments with the exception of when the stock market is rallying rapidly. Index Fact Sheet Cboe S&P 500 Buffer Protect Index Fact Sheet Target Outcome Indexes #...
An Analysis of the S&P 500 Index and Cowles's Extensions: Price Indexes and Stock Returns, 18701999 来自 EconPapers 喜欢 0 阅读量: 41 作者:Wilson, Jack W.,Jones, Charles P.摘要: This article provides a consistent monthly stock price index from January 1871 through 1999. The broadly defined...
The fund invests in financial instruments that ProShare Advisors believes, in combination, should produce daily returns consistent with the Daily Target. The index is a measure of large-cap U.S. stock market performance. It is a market capitalization-weighted index of 500 U.S. operating ...
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The VIX market volatility index and U.S. stock index returns This study examines the intertemporal relationships between CBOE market volatility index (VIX) and returns of the S&P 100, 500, and 600 indexes during 1992... G Sarwar - 《Journal of International Business & Economics》 被引量: 5...
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The S&P 500 is a market-capitalization-weighted stock market index that tracks the stock performance of about 500 of some of the largest U.S. public companies. Investors and economists use the S&P 500 as a benchmark for the overall U.S. stock market and the U.S. economy as a whole. ...
Index ETFs have seen substantial growth, with total net assets reaching $5.4 trillion at year-end 2023, representing a significant part of the ETF market.2 The SPDR S&P 500 (SPY), launched in 1993 to track the S&P 500 Index, is the oldest surviving and largest ETF with annual returns of...
Standard deviation of stock returns measures the degree of dispersion of returns around the mean, so the larger the standard deviation, the larger dispersion of returns around the mean. The CAPM has several advantages and disadvantages. It is easier to apply and communicate the advantages of the...