The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us to study the behavior of extreme quantiles associated with large...

This paper tests the old adage and investment strategy "cut your losses and let your profits run" for randomly chosen portfolios comprised of large US stocks. We find that "cut your losses" clearly underperforms the buy-and-hold strategy. The results hold for monthly, quarterly and annual data...