Abstract

http://ssrn.com/abstract=1553825
 
 

Citations



 


 



Has the U.S. Stock Market Become More Vulnerable Over Time?


Avraham Kamara


University of Washington - Michael G. Foster School of Business

Xiaoxia Lou


University of Delaware - Alfred Lerner College of Business and Economics

Ronnie Sadka


Boston College - Carroll School of Management

February 16, 2010

Financial Analysts Journal, Vol. 66, No. 1, 2010

Abstract:     
This study demonstrates that the cross-sectional variation of systematic risk and systematic liquidity has increased from 1963 to 2008. Both have increased significantly for large-capitalization companies but have declined significantly for small-cap companies. These findings have several implications for investment managers, including the declining ability to diversify return volatilities and liquidity shocks by holding liquid, large-cap stocks. The findings suggest that the vulnerability of the U.S. equity market to unanticipated events has increased over the past few decades.

Keywords: Equity Investments, Investment Industry, Historical Trends, Portfolio Management, Portfolio Construction, Rebalancing, and Implementation, Risk Measurement and Management, Equity Portfolios

Accepted Paper Series





Not Available For Download

Date posted: February 18, 2010  

Suggested Citation

Kamara, Avraham and Lou, Xiaoxia and Sadka, Ronnie, Has the U.S. Stock Market Become More Vulnerable Over Time? (February 16, 2010). Financial Analysts Journal, Vol. 66, No. 1, 2010. Available at SSRN: http://ssrn.com/abstract=1553825

Contact Information

Avraham Kamara (Contact Author)
University of Washington - Michael G. Foster School of Business ( email )
Box 353200
Seattle, WA 98195-3200
United States
206-543-0652 (Phone)
206-221-6856 (Fax)
Xiaoxia Lou
University of Delaware - Alfred Lerner College of Business and Economics ( email )
Newark, DE 19716
United States
Ronnie Sadka
Boston College - Carroll School of Management ( email )
140 Commonwealth Avenue
Chestnut Hill, MA 02467
United States
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