New New High, from Kim Zussman
Yesterday (3/5/2013) the DJIA passed its all-time high (not adjusted for inflation); the SP500 has only a couple % to do the same.
Going back to 1950, daily SP500 closing prices were identified which were both an all-time high (starting at 1950), AND the first such occurrence in 100 trading days. There were 19 such instances. For these 19 new all time highs, checked the return for the next 1 day, 5d, 10d, and 20d - here comparing the means to zero:
One-Sample T: 1d, 5d, 10d, 20d
Test of mu = 0 vs not = 0
Variable N Mean StDev SE Mean 95% CI T P
1d 19 0.0010 0.0059 0.0013 (-0.0018, 0.0038) 0.77 0.451
5d 19 0.0047 0.0117 0.0026 (-0.0008, 0.0104) 1.78 0.092
10d 19 0.0040 0.0185 0.0042 (-0.0048, 0.0129) 0.95 0.354
20d 19 0.0061 0.0257 0.0059 (-0.0062, 0.0185) 1.05 0.309
not much; the most promising being the 5 days after new all time highs. Below are the dates:
Date
5/30/2007
2/14/1995
8/19/1993
7/29/1992
2/13/1991
5/29/1990
7/26/1989
1/21/1985
11/3/1982
7/17/1980
3/6/1972
4/29/1968
5/4/1967
9/3/1963
11/1/1961
1/27/1961
9/24/1958
3/11/1954
6/25/1952