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  • Academic Papers

    Hojat, S. & Sharizadeh, M. (2017). The impact of monetary policy on the equity market. International Journal of Applied Management and Technology, 16 (1), 15-33. doi: 10.5590/IJAMT.2017.16.1.02

    Abstract The problem is that prior studies examining the impact of monetary policy instruments on the equity market have produced mixed results. The purpose of this study was to determine the impact of changes in money supply (M2), federal funds rate (FFR), and federal funds futures on the expected rate of returns of publicly traded companies. We developed and tested a multifactor capital asset pricing model and applied regression methodologies suitable for panel data analysis to analyze the data. The multiple regression results showed positive moderation effect of M2, and negative moderation and mediation effects of FFR and federal funds futures on the expected rate of returns of publicly traded companies. The socioeconomic implication of these findings is that the Federal Reserve decisions on changing M2 is not influenced by changes in the equity prices, but changes in the equity prices are a signal for the Federal Reserve to adjust its decision on changing the FFR.

    Keywords: Monetary policy, equity market, CAPM, moderation effect, mediation effect

    Link to full Paper

    Sharifzadeh, M. & Sharif, A. (2015).  A probabilistic capital budgeting model for new product development under stage-gate process. Accounting and Finance Research, 4(2), 99–109. doi: 10 10.5430/afr.v4n2p

    Abstract: Stage-gate model for new product development (NPD) and for any research and development (R&D) project consists of a series of stages and gates; each stage is a set of research activities and gates are milestones at which decisions are made based on predetermined criteria. In this paper we developed a capital budgeting model for a typical 5-stage, 5-gate  process to be used for appraising commercial viability of the NPD at Stage 2 which will serve as one of the decision making criterion at Gate 3. Because in an NPD project, completion costs (capital investments), completion times, and future cash flows are uncertain, we developed the Pert-Beta probability distribution to encounter for the randomness of these variables. Furthermore, we suggested the model can be applied to real case NPD projects with the Monte Carlo Simulation approach. We then verified the workability of the model by applying it to a notional NPD project and demonstrated that all decision variables reach steady state in the Monte
    Carlo Simulation calculations.
    Keywords: Stage-gate, New Product Development, Capital Budgeting, Pert-Beta, Monte Carlo Simulation
    Link to full paper

    Sharifzadeh, M. & Hojat, S. (2012).  An analytical performance comparison of exchanged traded funds with index funds: 2002-2010. Journal of Asset Management, 13(3), 196–209. doi:10.1057

    Abstract: Exchange-traded Funds (ETFs) have been gaining increasing popularity in the investment community, as evidenced by their high growth both in the number of ETFs created and their net assets since 2000. As ETFs are in nature similar to index mutual funds,in this article we examine whether this growing demand for ETFs can be explained through their outperformance as compared with index mutual funds. We consider the population of all ETFs with inception dates before 2002 and then for each ETF found all the passive index mutual funds that had the same investment style as the selected ETF and had an inception date before 2002. This led to a sample of 230 paired matches for all the styles. Within each investment style we matched every ETF with all the passive index funds in that investment style and compared the performances of the matched pairs in terms of Sharpe Ratios and risk-adjusted buy and hold total returns for the period 2002–2010. We then applied the Wilcoxon signed rank test to examine whether ETFs had better performances than index mutual funds during the sample period. We conducted the test both within each style and for all the styles put together. In terms of Sharpe Ratio, out of the 12 styles included in the sample, for 5 styles the conclusion was that ETFs outperformed index funds, for 3 of the styles US Broad market, US large cap growth and US Reits index funds outperformed ETFs, and for 4 styles there was statistically no significant difference between ETFs and index fund performances. Out of the 230 paired matches of all the styles, ETFs outperformed index mutual funds 134 times in terms of Sharpe Ratio; however, the test of the hypothesis showed no statistically significant difference between ETFs and index fund performances in terms of Sharpe Ratio. The break-down of the results for risk-adjusted buy and hold total returns was slightly different from those for the Sharpe Ratio, though the overall conclusion was the same. For five of the styles, index funds outperformed ETFs, for three styles ETFs outperformed index funds, and for four styles there wasstatistically no significant difference between the performances of the two. Out of the 230 paired matches of all the styles put together, ETFs outperformed index mutual funds 125 times in terms of risk-adjusted buy and hold total return; however, the test of hypothesis showed no statistically significant difference between ETFs and index fund performances in terms of risk-adjusted buy and hold total return.
    These findings indicate that there is statistically no significant difference between ETFs and passive index mutual fund performances at the fund level, and that investors’ choice between the two is related to product characteristics and tax advantages.
    Keywords: ETFs; index funds; Sharpe Ratio; Wilcoxon signed rank test
    Link to full paper:
    http://www.palgrave-journals.com/jam/journal/v13/n3/abs/jam20123a.htmlp


    Sharifzadeh, M. (2006). An Empirical and Theoretical Analysis of Capital Asset Pricing Model (Doctoral dissertation).

    Abstract                                      Full full dissertation

    Simin Hojat Publications and Academic Papers               

    Hojat, S. (2017). Research Methodology: Qualitative Reserach.

    Link to Paper

    Hojat, S. (2017). Research Methodology: Quantitative Research.

    Link to Paper

    Hojat, S. (2017): Application of Quantitative Research.

    Link to Paper

    Hojat, S. (2015). The Impact of Monetary Policy on the Equity Market. (Doctoral dissertation).
    Abstract                                                Full dissertation

    Hojat, S.(2015). Macro Variables and Volatility of Asset Prices.

    Link to paper

    Hojat, S.(2014). Complexity and Orthodox Economics
    Link to paper

    Hojat, S. (2014).Capital Asset Pricing Model: An Overview.Link to papar

    Hojat, S. (2014).The New Economy: Cyclical or Structural? Link to paper

    Hojat, S.(2013). Corporate Finance and Investment Theories.Link to paper