Wednesday, January 23, 2013

IQR and Percentile of Stock Returns by Month

Below, Corrections plots three percentiles of monthly stock returns (NASDAQ, AMEX, and NYSE) over time.  A 1 corresponds to a 100% gain.  A 0 corresponds to no gain, and a -1 corresponds to a 100% loss (click to enlarge).  
Similarly, we plot the interquartile range (75th percentile minus the 25th percentile) of stock returns in each month (click to enlarge)

Saturday, January 19, 2013

Unemployment Rate by Gender over Time

Below, Corrections displays the unemployment rate by gender over time (click to enlarge).

U.S. Bank Failures over Time

Below, Corrections graphs out the number of bank failures by quarter from 1934:Q2 to the 2 bank failures occurring in 2013:Q1 so far (click to enlarge).

Friday, January 18, 2013

Consumer Debt over Time

This recession was a period of U.S. consumers paying off in debt in dramatic fashion.  The first figure is consumer debt as a fraction of GDP by type over time:  mortgage debt has declined precipitously, and the much-talked-about increase in student debt is a minuscule part of U.S. debt (click to enlarge).
Corrections also displays total consumer credit balance by delinquency status:  while we've been paying off debt, a large fraction of debt remains delinquent (click to enlarge).

Tuesday, January 8, 2013

Different Government Spending Definitions over Time as a Percentage of GDP

Different figures of U.S. Government spending over time are constantly popping up online.  Corrections depicts four such graphs with a (hopefully) clear legend to match (click to enlarge).  All data from the National Income and Product Accounts.

Thursday, January 3, 2013

Distribution of Stock Market Returns

Below, Corrections displays the distribution of daily holding period returns in all non-delisted stocks in the U.S. NYSE, NYSE-AMEX, NYSE-ARCA, and NASDAQ (click to enlarge).  Holding period returns include dividends.
We do the same thing but cumulate the net returns over the course of the month (click to enlarge):

What are the Long-Run Returns on Sovereign Bonds of defaulting countries?

Bondholders of defaulting sovereigns often take haircuts between 5 and 70 percent (typically around 20%) of the net present value of their bonds, but they often get large risk premia in the years running up to a default.  What are the long run returns of a portfolio that specializes in bonds of countries that are likely to default?

The answer seems to be that there looks to be a positive but small benefit to holding the bonds, though there is high variance in the outcomes.  Lindert and Morton (1989) look at 1,522 bonds over the course of 150 years and find a 0.42% premium of their portfolio against a portfolio of British and U.S. bonds.  Eichengreen and Portes find that U.S. bonds beat default-prone sovereign bonds, but default-prone sovereign bonds bean U.K. bonds during the 1930's round of defaults.  Klingen, Weder and Zettelmeyer (2004) estimate long run premia of between -0.17% and 0.46%, using various methodologies.

Below, from the book Debt Defaults and Lessons from a Decade of Crises (Sturzenegger and Zettelmeyer), Corrections depicts the degree to which a portfolio of sovereign bonds beats a portfolio of "safe" (U.S. or U.K.) bonds over long time periods for 32 country-time periods (click to enlarge).