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Event profiling and analysis of S&P 500 stocks

Event profiling analysis of all S&P 500 stocks between Jan 1 2008 to Dec 31, 2009. 

A classified event is anytime when the closing stock price for a particular stock falls below $5. 

On the horizontal axis is backward looking and forward looking # of days from the event. Individual Stock returns comparison is against SPY.  

Vertical bars represent the standard deviation of returns for those days.

Observations

1.  1. For the same period in both graphs, we see 326 events in 2008 S&P500 stocks vs 176 events in 2012 S&P stocks.

2. The fall in stock price at the time of event is much steeper in 2008. Periods of higher volatility.

3. Slightly higher cumulative return for the lower graph with 2012 S&P 500 stocks.

4. If you went long at the occurrence of event , you would get a return of approx 5% in 20 days. (2012 S&P 500 stocks)