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Event profiling and analysis of S&P 500 stocks

Stocks listed in S&P500 in 2008
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.


Stocks listed in S&P500 in 2012
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)


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