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20 Resources for

s&p 500

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S&P 500: Best & Worst Months on Average: The S&P 500 has always been a reflection of the larger economy. They are America's bellwether stocks -- the bluest of the blue chips. Stocks in the S&P don't always do so well, though. In fact, much like sunspots and glacial epochs, the S&P 500 has a relatively...; Tags: Financial accounting, Jonathan Haeber, S&P 500; Blog posts 2007-09-10
Jump and Volatility Risk and Risk Premia: A New Model and Lessons From S&P 500 Options: The paper uses a novel pricing model to filter times series of diffusive volatility and jump intensity from S&P 500 index options. These two measures capture the ex-ante risk assessed by investors. It finds that both components of risk vary substantially over time, are quite persistent, and correlate with each...; Tags: Financial accounting, Investment, National Bureau of Economic Research, S&P 500, volatility, pricing strategy, stock; White papers 2004-11-01
The Return of the Strategic Buyer to Middle-Market and Large M&A: A FactSet Mergerstat study on the buying activity of companies in the Standard & Poor's 500 index is the latest corroboration of reports that 2004 marks the official return of strategic buyers. After three years of remarkable declines in M&A activity by the S&P 500 companies, this study shows that...; Tags: Mergers & Acquisitions, Financial accounting, Bank of America Corp., M&A, S&P 500; White papers 2004-11-01
Retirement Liabilities: The Worst Has Likely Passed for Pensions, But Investors Shift Focus to Retiree Health Care: The analysis of pension and OPEB disclosures for every company in the S&P 500 revealed valuable information regarding the relative health of these plans, their impact on the overall S&P 500, and emerging trends. This report includes two detailed appendices that outline pension and OPEB data for all S&P 500...; Tags: Benefits, Financial accounting, Goldman Sachs & Co., pension, S&P 500, GAAP, health care, analysis; White papers 2004-05-13
You Can't Judge an Index Fund by Its Cover: As an index fund is a passive investment, the fund manager selects a combination of assets for a portfolio that is intended to mimic an index such as the S&P 500. Since the assets underlying the fund are held and not actively traded, management fees are usually lower. An S&P...; Tags: Asset management, Financial accounting, Equade Internet, S&P 500, asset, DJIA, performance; White papers 2003-06-11

Fundamental Profit Based Equity Indexation: A Better Way To Hold the Market: Profit weighted indexes are a new way of looking at markets. This new approach uses profit instead of market capitalization as its principal weighting tool, has a clear methodology and, on back testing, produces consistently superior returns. Moreover, this superior performance has been generated with lower volatility than comparable market...; Tags: Financial accounting, Performance management, S&P 500, S&P, market capitalization, performance, volatility, equity, stock, tool; White papers 2003-04-01
How Does Systematic Risk Impact US Credit Spreads? A copula Study: It is well known that some relationship between systematic risk and credit risk prevails in financial markets. In this study, S&P 500 stock index return is our market risk proxy whereas credit spreads represent our credit risk proxy as a function of maturity, rating and economic sector. The article addresses...; Tags: Financial accounting, S&P 500, dependence, statistical analysis, financial market, financial; White papers 2003-02-01
Understanding Your Results: Modern Portfolio theory was virtually unknown, the benefits of small and value were not appreciated, and basic risk control techniques were little understood. However, today, use of the S&P 500, as a standard benchmark is unfortunate, because as a comprehensive investment policy, the S&P 500 is a sub-optimal. The S&P...; Tags: Financial accounting, Investor Solutions Inc., S&P 500, investor, theory, asset, technique, stock, benefit; White papers 2003-01-01
Is International Still An Effective Diversifier?: Over the five years, international equities as measured by MSCI EAFE have returned 3.7% annually in U.S. dollars, while the S&P 500 index returned 14.3% annually. Thus, EAFE under performed U.S. equities by an average of 10.6% a year over the past five years, the second-worst five-year comparative record that...; Tags: Financial accounting, Financial services, Institute for Fiduciary Education, S&P 500, equity, emerging market; White papers 2003-01-01
Are Investors Rational? Choices Among Index Funds: S&P 500 index funds represent one of the simplest vehicles for examining rational behavior. They hold virtually the same securities, yet their returns differ by more than two percent per year. Although the relative returns of alternative S&P 500 funds are easily predictable, the relationship between cash flows and performance...; Tags: Financial accounting, American Finance Association, S&P 500, arbitrage, investor, performance, security; White papers 2003-01-01
U.S. Narrow Markets: An Empirical Investigation: This article examines the recent U.S. narrow-markets phenomenon—that is, the large number of under performing stocks in contrast to the small number of outperforming stocks. Recent stock market performance in the United States has been characterized by many market observers as “narrow” in the sense that there have been relatively...; Tags: Investment, Financial accounting, Financial Planning Association, S&P 500, stock, U.S., market capitalization, stock market, asset, performance; White papers 2003-01-01
Using S&P 500 Stock Index Futures and Options: Stock price index futures and options are contracts that allow you to effectively buy or sell an extremely well-diversified portfolio of stocks. They are also opportunities, chances to make investment decisions based on your opinion of the overall stock market. Stock index futures and options are powerful and versatile instruments,...; Tags: Investment, Financial accounting, Chicago Mercantile Exchange Inc., S&P 500, stock, stock market, stock price, benefit; White papers 2003-01-01
Determining the Relevant Fair Value(s) of S&P 500 Futures: A fundamental consideration for potential users of stock index futures is the determination of the futures’ break-even price or fair value. Conceptually, being able to sell futures at prices above the break-even or buy futures at prices below the break-even offers opportunity for incremental gain. This article points out an...; Tags: Financial services, Investment, Chicago Mercantile Exchange Inc., equity, arbitrage, S&P 500, motivation; White papers 2003-01-01
How to Profit From Time-Value Decay With S&P 500 Options on Futures: This article elaborates regarding Derivatives. It is worth noting that deep out-of-the-money put spreads can, as an alternative, be placed on Dow futures options. Dow spreads require less margin than S&P futures options and would be better for those investors with smaller trading accounts. Whether the investors are trading Dow...; Tags: Financial accounting, Investopedia, The Dow Chemical Co., S&P, S&P 500, derivatives, investor, adjustment, monitor; White papers 2002-07-17
Portfolio Based Pricing of Residual Basis Risk With Application to the S&P 500 Put Options: This paper is devoted to pricing "hybrid" (insurance and financial) risk products by combining the financial option pricing method with the actuarial pricing method. It suggests that the price of contingent claims containing both hedgeable risk and unhedgeable risk should reflect the average cost of hedging, plus a risk premium...; Tags: Pricing, Marketing research, Financial accounting, Casualty Actuarial Society, pricing strategy, S&P 500, risk, insurance, financial; White papers 2002-07-15
Is Investor Misreaction Economically Significant? Evidence from S&P 500 LEAPS: Several recent studies [Stein (1989) and Poteshman (2001)] present evidence of investor misreaction in the options market. While the interpretation of their results is still controversial, it notes that the important question of economic significance has not been fully addressed. It fills in this gap by formulating regression-based tests to...; Tags: Financial accounting, S&P 500, strategy; White papers 2002-02-14
Passive Resistance: With the benchmark S&P 500 index tilting toward growth stocks, planners seek to keep their balance. The S&P 500 index, like major stock market indexes, is capitalization-weighted. Indexing strategies are meant to provide inexpensive exposure to a particular asset class, but money going into the S&P 500 might be seen...; Tags: Financial accounting, Investment, Thomson Corp., S&P 500, stock market, stock, asset, strategy; White papers 2001-11-01
The Impact of Capital Gains Taxes on Stock Price Reactions to S&P 500 Inclusion: This paper contributes to the understanding of the determinants of price responses to inclusion in the S&P 500 by providing evidence consistent with capital gains tax planning impacting stock reactions. The evidence is consistent with the share prices of appreciated firms being temporarily bid up to compensate individual shareholders for...; Tags: Financial accounting, Investment, National Bureau of Economic Research, S&P 500, shareholder, stock price, stock, tax; White papers 2000-11-01
Impact of Ranch and Market Factors on an Index of Agricultural Holding Period Returns: This study develops nominal and real holding period return indices for operating ranches. The indices contain two components, monthly ranch operating profit and capital appreciation. A regression model that determines the effect of various attributes on total market value is used to estimate capital appreciation, and a second model determines...; Tags: Financial accounting, indice, S&P 500, appreciation, operating profit; White papers 2000-04-04
Daily Momentum and Contrarian Behavior of Index Fund Investors: The paper uses a two-year panel of individual accounts in an S&P 500 index mutual fund to examine the trading and investment behavior of more than 91 thousand investors who have chosen a low-cost, passively managed vehicle for savings. This allows characterizing investors' heterogeneity in terms of their investment patterns....; Tags: Financial accounting, National Bureau of Economic Research, S&P 500, investor, mutual fund, trader; White papers 2000-02-01