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 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 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...