14 Pages

Stock Price Series and Rates of Return

ByStanley L. Sclove

This chapter introduces price series and rates of return of individual assets. Stock data are available from such data services as CRSP, the Center for Research on Security Prices. Stock closing prices are recorded at the end of successive time periods. The time period could be days, weeks, months, quarters, or years. Here, for definiteness, we talk in terms of months. The intraday rates of return (ROR) would be analyzed for day trading, where a stock is bought at the open and sold at the close of the trading day. Portfolio analysis is based on available past data, for example, monthly RORs. An advantage of continuous ROR over ordinary ROR is that continuous ROR is additive. Continuous RORs have another advantage over discrete RORs when used with seasonal data; namely the continuous RORs add up to the total; ordinary RORs do not.