In this paper, the marginal effects of changes (due to non-stationarity or estimation errors) in the REIT-stock risk premium and the REIT-stock correlation on the optimal portfolio asset mix of REITs, stocks, and bonds are determined. Employing a mean variance utility function and considering...

The product life cycle has been overlooked by academicians who examine the financial aspects of corporate behavior and teach finance. This article demonstrates how the life cycle concept can be used to enhance both research and teaching by demonstrating how key financial variables, such as...

The traditional CAPM beta is almost exclusively calculated over a return period that spans a window length of 60-months, at one-month return frequencies. It is one of the most utilized models in the asset management industry to assess systematic risk. Yet there is limited evidence to suggest...

We examine the sentiment levels of individual investors relative to subsequent short-term market returns for 1992-2010. We find that sentiment, proxied by percentage of investors who are “bullish” on the market, is significantly negatively related to the subsequent three- and six-month...

Financial crises inflict significant human as well as economic hardship. This paper focuses on the human fallout of capital market stress. Financial stress-induced behavioral changes can manifest in higher suicide and murder-suicide rates. We find that these rates also correlate with the Gross...