The paper presents an analysis of the commercial banking firm based on Markowitz portfolio analysis. A bank is treated as a portfolio of five banking assets and three banking liabilities. The average return and risk of each category is estimated empirically for three groups of banks categorized...

The efficient markets hypothesis suggests that no stocks should significantly lead or lag the market. The single index market model is augmented to become a multi-index model that includes several months of stock returns that lead and lag an index that serves as a surrogate for the market...

Jensen developed a well-known portfolio performance evaluation measure. Subsequently, Jensen formulated a return-generating model to measure portfolio performance. Lee proposed a generalized specification of the model. This paper investigates the implications of the generalized return-generating...

Empirical data from 113 mutual funds are analyzed to discern the role of skewness in investors' decisions. Monthly and annual differencing intervals are used to formulate different models. Different results from different formulations of the econometric models suggest that different conclusions...

The intertemporal stability of the standard deviations and the beta coefficients for the NYSE stocks are analyzed. The beta systematic risk is decomposed in terms of the asset's underlying (i) standard deviation, and (ii) the asset's correlation with the market. Then elasticities between the...

The purpose of this paper is to assess the stability of the single index market model. Binary variables are attached to the alphas and betas to measure their tendency to change as the business cycle proceeds. Significant instability is reported

The single-index market model is estimated with market returns from mutual funds. Binary variables are used to determine if the beta coefficients increase during bull markets. If the mutual fund beta coefficients increase during bull markets, for example, this increase indicates the portfolio...

Monthly returns are used to estimate the single-index market model (SIMM). Binary variables are used to determine if the alpha intercept and beta slope coefficients are stable through alternating bull markets and bear markets. The results suggest that some investment analysts have fallen into...

The results suggest that the beta systematic risk measure calculated with the well-known single index market model (SIMM) may be a random coefficient. This would explain why the average NYSE stock has less than half of its total risk explained by market forces — the true beta is moving...