Michael Phillips

• California State University, Northridge

The impact of the COVID pandemic on the 2020 election outcome is analyzed using Iowa Electronic Market data, measures of socially and economically driven market volatility, a measure of COVID severity, and selected election-related events. Building on research regarding two previous U.S. presidential elections, we find that the pandemic helped the...

This is the first paper to estimate the dollar impact of COVID-19 on the aggregate value of United States commercial real estate. With the compounding effects of telecommuting, social distancing, restrictions on commerce, and business closures, few sectors have been as hard hit by the COVID-19 pandemic as commercial real estate. Analyzing traded RE...

This paper demonstrates the importance of making regional cost adjustments and questions the validity of papers using nationwide compensation to assess noncompete enforceability and other policies without regional price‐level adjustments. Numerous papers in recent years do not incorporate the cross‐sectional analog to inflation adjustments. Using t...

The present study tests the forecasting strength of widely used asset pricing models, using monthly stock returns of two style-based, large-cap US growth and value index funds for 1993–2015. Global variables are added to the models to test the global linkage impact. As we impose a positive forecast returns constraint, there is a considerable reduct...

Objectives The contentious 2016 U.S. presidential election was marked by acrimonious televised debates between the two major candidates, Hillary Clinton and Donald Trump, federal investigations of Clinton's emails that were sent from a personal server when she held office as Secretary of State, and the release of a videotape of lewd remarks by Trum...

A recent one-time accounting “repatriation tax” charge against a leading cash flow series (e.g., Federal Reserve Economic Data series, Corporate Net Cash Flow with Inventory Valuation Adjustment) introduces a significant change in 4th Quarter, 2017 that is an accounting artifact. This note demonstrates the econometric impact of the charge and illus...

Consumers face hard choices when they need cash quickly. Hard choices can lead to emotional or economically unsound decisions. Traditional classroom discussions of raising funds to pay for expenses usually focus on generating income, borrowing, or the sale of real and financial assets, if hardship is discussed at all. However, many families have ad...

When a portfolio is not actively managed to maintain a fixed investment percentage in each asset but rather maintains a fixed number of shares for each asset, the portfolio weights will change over time because the market returns of the different assets will not be the same. Consequently, portfolio betas computed as a linear combination of asset be...

The Monte Carlo method and related multiple imputation methods are traditionally used in math, physics and science to estimate and analyze data and are now becoming standard tools in analyzing business and financial problems. However, few sources explain the application of the Monte Carlo method for individuals and business professionals who are no...

Socially conscious individual investors face a host of challenges, not least of which are a stock buy list screened by environmental, social, and governance (ESG) criteria, and investment strategies that are easily implementable. In this study, we addressed these issues by utilizing a publicly available ESG stock list (100 Best Corporate Citizens)...

While financial planning students are expected to be able to understand client retirement plans, subtle differences in cost-of-living adjustments can have major impact on the success of client retirement plans. This teaching note compares the cost-of-living adjustments in the largest government sponsored retirement systems and a hypothetical tradit...

Utilizing the bivariate GARCH-in-mean methodology, this study examines the strength of global risk premia using 10 major foreign stock markets with two style-based, large-cap U.S. index funds and S&P500, for the period 1993–2014. We incorporated seven U.S. business cycles. The foreign risk premium was found to be significantly strong for both growt...

This paper presents the Agresti & Coull Adjusted Wald method for computing confidence intervals and margins of error for common proportion estimates. The presented method is easily implementable by business students and practitioners and provides more accurate estimates of proportions particularly in extreme samples and small sample situations. The...

Implementing sector rotation strategies with a set of low-frequency economic measures, the authors construct long-only sector exchange traded fund (ETF) portfolios that respond differently to the economy via alternative optimization methods, such as mean-variance and low-volatility allocations. These economic-based portfolios, when assessed against...

This study uses the 1992–2010 Survey of Consumer Finances to analyze whether the likelihood of life insurance ownership and the face value amount of life insurance changes for minorities as household size changes. We find that the likelihood of life insurance ownership declines for Black and larger Hispanic families as household size increases when...

Financial planning is an interdisciplinary field including finance and business law topics. Consequently, standard pedagogical resources often omit topics that fall between these fields. To address a key gap in educational materials for financial planning students and faculty, this article reviews recent regulatory developments for financial planni...

Provided are, among other things, systems, methods and techniques for forecasting information. One representative embodiment involves obtaining data that has been provided by each of a number of individual people; dividing the people into clusters by utilizing a statistical clustering technique; calculating statistics of the data in each of at leas...

This article explores the degree of homogeneity of investment performance of mutual funds within and among asset classes. The analysis considers the assets class category and performance of more than 3,500 mutual funds for the period from 2006 through 2014. Although investment textbooks and professionals often emphasize that asset selection explain...

The capital asset pricing model (CAPM) suggests that an investor's cost of equity capital is determined by beta, a measure of systematic risk based on how returns co-move with the overall market. We propose to replace beta with downside beta, a measure more consistent with investors' perception of risk. Recent empirical evidence suggests that downs...

This paper illustrates how a third statistic from asset pricing models, the R-squared statistic, may have information that can help in portfolio construction. Using a traditional CAPM model in comparison to an 18-factor Arbitrage Pricing Style Model, a portfolio separation test is conducted. Portfolio returns and risk metrics are compared using dat...

An educational example is presented that is an effective teaching illustration to help students understand the difference between traditional CAPM beta and downside (or down-market) beta and why downside beta is a superior measure for use in personal financial planning investment policy statements.

The authors introduce a macroeconomic factor model, the Eta model, and its various applications. The underlying message regarding the Eta model, be it for replication, wealth maximization, or wealth preservation, is that “the economy matters.” The core feature of the Eta model is its replication methodology, from which portfolios could be customize...

The dual-beta model is a generalization of the CAPM model. In the dual-beta model, separate beta estimates are provided for up-market and down-market days. This paper uses the historical Anscombe quartet results which illustrated how very different datasets can produce the same regression coefficients to motivate a discussion of the dual-beta model...

In this study, we present an extension to the literature on passive hedge fund replication and its applications by introducing the Eta model, and applying it to hedged mutual funds (HMFs) in an attempt to clone their cumulative returns and assessing the skills of fund managers. Although our replication methodology performed reasonably well for HMFs...

Recently, market volatility has been used as an explanatory variable for presidential job approval. Our research builds on such an approach by first extracting the economic and non-economic components of market volatility using the Eta® (c4cast.com, Inc., 750 E. Walnut St., Pasadena, CA 91101) model, which considers 18 economic factors, far more th...

A shift from male-majority to female-majority university campuses has opened up new areas for research on gender bias, stereotypes, and discrimination. At one large state university on the west coast, there were more female than male graduates in Spring, 2008 in 7 out of 8 colleges, including the traditionally male-majority areas of business and sc...

Statistics, econometrics, investment analysis, and data analysis classes often review the calculation of several types of averages, including the arithmetic mean, geometric mean, harmonic mean, and various weighted averages. This note shows how each of these can be computed using a basic regression framework. By recognizing when a regression model...

Previous research has shown racial/ethnic effects in asset allocation. We extend these results by showing how these effects depend on the racial composition of the neighbourhood. In particular, we show that in predominately white neighbourhoods there are significant differences in asset allocations across racial groups; however, in mixed or white m...

Previous research has shown racial/ethnic effects in asset allocation. We extend these results by showing how these effects depend on the racial composition of the neighbourhood. In particular, we show that in predominately white neighbourhoods there are significant differences in asset allocations across racial groups; however, in mixed or white m...

The objective of this study is to examine whether information, if any, is indeed embedded in economic value added (EVA) that would prove useful in creating wealth, and in minimising risk, for the investor during bull and bear market environments. Should this be so, then past EVAs should contain information that aids in the creation of stock portfol...

Many observers argued that Barack Obama’s candidacy in the U.S. presidential election of 2008 benefited from the financial crisis and recessionary economic conditions which voters blamed on the Republican administration. However, an empirical examination of stock price and public opinion data indicates that improvements in Obama’s electoral prospec...

This study examines the risk and performance of the Vice Fund, an antithesis of socially responsible funds. It also introduces a more robust measure of risk and performance, in the form of the autoregressive conditional heteroscedasticity model, into the socially responsible investing arena. While the traditional unconditional measures highlight th...

This article reports findings from an assessment of the effectiveness of privately administered ‘structured on-site training’ (SOST) programs funded by the California Employment Training Panel. It reports on the characteristics of SOST programs that increased trainees' competitiveness in the internal and external labor markets. In addition, it prov...

This paper explores whether Market Value Added (MVA) also has forecasting content that can be used to form a higher performing and a lower performing portfolio from a larger buy list. Our analysis is based on a "Portfolio Separation Test", which has its methodological roots in forecast evaluation criteria often employed to appraise a forecast's eco...

The authors provide an in-depth analysis of an incumbent worker training program funded through California's unemployment insurance taxes.

Qualitative methods were used to analyze a sample of 23 representative California Employment Training Panel (ETP) projects to determine how ETP training affected companies. Data were collected through interviews, focus groups, surveys, observations, and document analysis. Among the factors found to affect quality of training design were: selection...

The doctrine of comparable worth rests on an assumption that each job possesses an inherent worth independent of the market forces of supply and demand. Implementation of comparable worth further requires that inherent job worth be measured with reasonable accuracy. This paper reports the results of an experimental study of comparable worth. Three...

This study examines the differences between founder-controlled firms and firms controlled by descendants or relatives of the founder. In general, we observe that founder-controlled firms grow faster and invest more in capital assets and research and development. However, descendant-controlled firms are more profitable. The results are consistent wi...

A monthly cycle existed in initially announced changes in seasonally adjusted M1 for a period extending at least from September 1977 to February 1984. This cycle was the source of systematic errors in the widely used Money Market Services forecast of M1. Such errors can induce a spurious relation between interest rates and expected changes in the m...

Housing units are heterogeneous goods. Rates of change in housing prices are typically modelled as if they arise from factors unrelated to the housing unit itself. For example, housing price increases in the latter part of the 1970s and early 1980s are argued to have arisen primarily from demographic factors and the differential effects of inflatio...

Time series methods are applied to daily data of trips and average catch per trip (effort and CPUE) for anchovy and mackerel fishing in the San Pedro, Cali- fornia, purse seine fishery. The study shows that high fishing effort leads to a slight increase in CPUE, whereas high CPUE attracts additional fishing effort. The data show little evidence of...

The cost of capital is partly determined by a cost of equity which centres on the concepts of the 'capital asset pricing model' (CAPM) and, ultimately, beta. Beta traditionally assumes that risks are linear, but according to findings from behavioural finance, they are not; especially downside risks which are not reflected correctly in the tradition...