What Can We Learn from Statistical Regularities in Stock Returns? Insights from An Entropy-Constrained Framework

Emanuele Citera ()

Chapter Chapter 7 in Crises and Uncertainty in the Economy, 2022, pp 113-141 from Springer

Abstract: Abstract In this chapter, we investigate the US stock market dynamics over bull markets, bear markets and corrections through the lenses of statistical equilibrium. By making use of an entropy-constrained framework, we build a theoretical model to recover the cross-sectional distribution of daily returns of individual companies listed on the S&P 500, over the period 1988–2019. The results of the model shed light on the microscopic as well as macroscopic behavior of the stock market, in addition to providing insights in terms of stock returns distribution and investors’ behavior.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-19-3296-0_7

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DOI: 10.1007/978-981-19-3296-0_7

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