Munich Personal RePEc Archive

Is the US stock market getting riskier?

Suarez, Ronny (2017): Is the US stock market getting riskier?

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Abstract

In this paper, we compared the distribution of the S&P 500 Index monthly returns of the period 1957-1986 against the period 1987-2016 to evaluate the presence of extreme events. The last 30 years have recorded a higher (lower) probability to exceed a given negative (positive) monthly return compare with the probability of exceedance of the three previous decades

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