This paper focuses on an analytic approach that has received relatively sparse application in the economics/finance literature: simulation. Providing a laboratory-type environment, simulation can generate data that enable a com- plex environment to be assessed in a tractable manner that might...

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...

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...

This paper synthesizes innovations in partitioning the cash flows from a share of common stock. PRIMES & SCORES, Unbundled Stock Units (USUs), and three hybrid equity options (DIVS, OWLS, and RISKS) are studied