On August 2, 2024, the stock of Intel Corp. (INTC) fell 26.1%. This was a 10-standard deviation move based on the available sample of daily returns. However, these left-tail events have not been rare in Dow-30 stocks.
The histogram of INTC’s daily returns shows a left-tail event on August 2, 2024, with a magnitude of -26.1%, nearly 10-standard deviation below the mean based on the available sample.
These are not rare moves. The INTC stock also fell 22% on September 22, 2000. Using Norgate Data with delistings, we identified 18 Dow-30 stocks that have fallen more than 20% on a single day since 1990, with a total of 42 separate events.
In the stock market, company-specific risk is high, even if the stock is in a large-cap index like the Dow-30. Diversification is the only way to reduce specific risks.
Note that the 21-day return has been mostly positive after these tail events, excluding bear markets. This makes sense.
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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