The study, undertaken by Consulting Group, a unit of Salomon Smith Barney, examined the performance of the S&P 500 Index in each of the eight recessions since 1950, identified by the National Bureau of Economic Research (NBER).
Since 1950, the average recession has lasted approximately one year. The shortest, in 1980, was six months in duration, while the longest, in 1973-75, lasted16 months, according to NBER
The group found that the index actually rose in value during five of the eight periods. The average annualized return on the S&P 500 over all eight downturns was 10.9%, roughly the same as the annualized return over the past 75 years.
For each recession, the total return on the S&P 500 was calculated, including both price changes and dividends. These returns were then annualized. Returns ranged from a high of +29.7% in the recession of 1953, to a low of -6% in the downturn of the early 70s. The average for all eight periods was +10.9%
One possible explanation is that prices are influenced by what is expected to happen, not by what has already occurred. By the time the economy is in recession, analysts and investors are often anticipating a recovery and a rebound in corporate earnings.