Context

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Context
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Stock Data
Market Data
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Industry Groups
Fundamentals
Price
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Beta
K Price
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Beta
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Pass 1 Collect historical volatility levels of
each stock, sort stocks into bins
Pass 2 Calculate mean daily price change for
stocks in each bin
Pass 3 Calculate two separate means price
changes, one for above mean and one for below
Return
Final Calculation Construct piecewise linear
approximation of daily price change per volatility
Increasing Historical Volatility
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Return
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Increasing Historical Volatility
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30-March-2005

Leaders in Price Performance Leaders in Price Performance Leaders in Price Performance Leaders in Price Performance Leaders in Price Performance
Jewelry Silverware Jewelry Silverware 3.96 3.96 22 Airline 20.7
Non-Metallic Mining Non-Metallic Mining 3.58 3.58 66 Retail (Technology) 12
Airline Airline 2.81 2.81 1 Retail (Drugs) 9.6
Computer Storage Devices Computer Storage Devices 2.74 2.74 11 Insurance (Accident Health) 8.8
Computer Networks Computer Networks 2.64 2.64 27 Water Utilities 8.6
Insurance (Accident Health) Insurance (Accident Health) 2.55 2.55 4 Forestry Wood Products 8.4
Schools Schools 2.44 2.44 72 Semiconductors 7.3
Metal Mining Metal Mining 2.36 2.36 19 Advertising 7.2
Personal Household Products Personal Household Products 2.14 2.14 10 Major Drugs 6.9
Communications Equipment Communications Equipment 2.10 2.10 18 Personal Household Prods. 6.3

Laggards in Price Performance Laggards in Price Performance Laggards in Price Performance Laggards in Price Performance Laggards in Price Performance
Office Supplies Office Supplies 0.55 0.55 30 Water Transportation -7.8
Tires Tires 0.44 0.44 13 Mobile Homes RVs -8
Waste Management Services Waste Management Services 0.31 0.31 90 Retail (Grocery) -8.1
Furniture Fixtures Furniture Fixtures 0.27 0.27 99 Oil Well Services Equipment -8.4
Fabricated Plastic Rubber Fabricated Plastic Rubber 0.18 0.18 49 Apparel/Accessories -9
Crops Crops 0.17 0.17 100 Recreational Activities -9.1
Construction - Raw Materials Construction - Raw Materials 0.09 0.09 102 Furniture Fixtures -9.8
Fish/Livestock Fish/Livestock -0.01 -0.01 62 Crops -10
Insurance (Prop. Casualty) Insurance (Prop. Casualty) -0.05 -0.05 89 Trucking -10.7
Scientific Technical Instr. Scientific Technical Instr. -1.38 -1.38 86 Construction - Raw Materials -11.3

Yahoo!Finance Industry Classifications Yahoo!Finance Industry Classifications Yahoo!Finance Industry Classifications Yahoo!Finance Industry Classifications Yahoo!Finance Industry Classifications Yahoo!Finance Industry Classifications
102 Industries total 102 Industries total 102 Industries total 102 Industries total
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Close only
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Relative Volatility only
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Dollar Volume
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Dollar Volume relative volatility
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Conclusions IFTA 05 FIN