Is the Current US Stock Market Overvalued? Univariate Analysis

Lingjie Ma
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Lingjie Ma: University of Illinois at Chicago

Chapter Chapter 2 in Quantitative Investing, 2020, pp 27-68 from Springer

Abstract: Abstract In this chapter, we employ univariate analysis to evaluate the US stock market. Using the S&P 500 daily pricing data from 1950 to 2018, we illustrate the concepts of four moments, density and cumulative distribution functions, and hypothesis testing. We present two important figures: Benjamin Graham on investment and Student (William Sealy Gosset) on univariate analysis. We show nonnormality of asset returns and present an industry approach to outliers. In the last section, we introduce R and demonstrate simple calculations and plots.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-47202-3_2

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DOI: 10.1007/978-3-030-47202-3_2

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