Abstract
ABSTRACT We examine the impact of large positive and negative returns for bond and stock portfolios. We use Ibbotson Associates' Large-Capitalization Stock and Long-Term Corporate Bond portfolio return series. Previous studies have shown that a stock portfolio's returns are highly impacted by the few extremely large and small returns in the series. We confirm this result for the updated large-capitalization stock return dataset. We extend previous findings by showing that extreme values impact bond returns in a similar manner. We also show the impact of extreme returns on ten to forty year investment periods. Keywords bond and stock returns, return statistics, return outliers
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