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...

Campbell and Shiller [1991], Cochrane and Piazzesi [2005], Diebold and Li [2006] and many others have shown that today's yield curve possesses significant information about the dynamics of future yields. Vector autoregression (VAR) models can forecast interest rates with different maturities,...

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...

Rates of return from residential, commercial and farm real estate in the U.S. from 1978 to 2008 inclusive are compiled. These real estate returns are contrasted with comparable stock, bond, and commodity investments, and with inflation. Recessions and other episodic events that are peculiar to...

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