Abstract
The relative response of stocks of Standard & Poor's 500 firms to the stock market crash on “Black Monday” (October 19, 1987) is examined. A significant correlation is found between the percentage decline in stock prices on Black Monday and the stocks' historically estimated betas. However, the decline in stock prices is found to be less than the decline implied by the stock's betas. Thus, an investor acting on the assumption that the prices would ultimately correct for this deviation would have obtained substantial profits.
Full Text 
Sign-in/Register to access full text options
Sign-in/Register to access full text options 
Published version (
Free)
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
