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):

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