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...

Various studies report that investing in “sin stocks”, that is firms which make money from human vice, such as alcohol, tobacco, gambling and weapons, has historically delivered significantly positive abnormal returns. This finding has inspired the hypothesis that sin stocks are being...