THE IMPACT OF OUTLIERS ON STOCK AND BOND RETURNS

Ronald W. Best, University of West Georgia, Carrollton, Georgia, U.S.A.
Charles W. Hodges, University of West Georgia, Carrollton, Georgia, U.S.A.
James A. Yoder, University of West Georgia, Carrollton, Georgia, U.S.A.

Published in

JOURNAL OF ACADEMY OF BUSINESS AND ECONOMICS
Volume 19, Issue 4, p69-80, December 2019

ABSTRACT

We examine the impact of large positive and negative returns for bond and stock portfolios. We use Ibbotson Associates' Large-Capitalization Stock and Long-Term Corporate Bond portfolio return series. Previous studies have shown that a stock portfolio's returns are highly impacted by the few extremely large and small returns in the series. We confirm this result for the updated large-capitalization stock return dataset. We extend previous findings by showing that extreme values impact bond returns in a similar manner. We also show the impact of extreme returns on ten to forty year investment periods.

Keywords

bond and stock returns, return statistics, return outliers


About the Article

Abstract, Keywords, Page Numbers, etc

About the Journal

Managing Editors, Indexing, Best Practices

About The Publisher

History, Partners, Conferences

Access the Full Article

Log-in to IABE to access full article

Search IABE

Search IABE's articles by Title, Author, or keyword

Contact Us

Send a message to IABE