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The Stata Journal (2013)
13, Number 3, pp. 603–617

Financial portfolio selection using the

multifactor capital asset pricing model and
imported options data
Mehmet F. Dicle
Loyola University New Orleans
New Orleans, LA
mfdicle@loyno.edu

Abstract. Diversification and portfolio selection are integral parts of a finance

curriculum. In this article, a multifactor capital asset pricing model is fit for com-
ponents of the Dow Jones Composite Index using data from Yahoo! Finance. Along
with the capital asset pricing model’s Beta, other statistics that are common cri-
teria for portfolio selection are calculated: historic standard deviation (total risk),
total return, average daily return, and Sharpe and Treynor measures. Two new
commands are introduced, fetchcomponents and fetchportfolio, that automate
the entire process. A third new command, fetchyahoooptions, is provided to
download and parse equity options data from Yahoo! Finance webpages and, op-
tionally, to calculate the implied volatilities for the downloaded options.
Keywords: dm0070, fetchcomponents, fetchportfolio, fetchyahoooptions, finance,
financial data, multifactor capital asset pricing model, Beta, diversification, port-
folio selection, Sharpe, Treynor, options, implied volatility

1 Introduction
Diversification, portfolio selection, hedging, and the capital asset pricing model (CAPM)
(Sharpe 1964; Lintner 1965) are integral parts of an undergraduate and a graduate
finance curriculum. Most textbooks provide detailed explanations about how to diver-
sify, how to evaluate different financial securities, and how to fit a CAPM. Considering
the importance of “learning by doing” or a “hands-on” approach, financial calculations
and CAPM estimations are performed in classrooms and given as assignments. There
are abundant resources about these financial calculations and CAPM estimations mostly
using Microsoft Excel. However, there seem to be limited resources for students to
do financial calculations and CAPM estimations using an econometric software such as
Stata. Considering the speed and ease of repeatability of Stata, this is a drawback in the
finance curriculum: teaching should focus more on theory and interpretation of results
than on long and tiresome steps of calculations and estimations.
Microsoft Excel is one of the primary software in the industry and an asset for finance
students, who should be able to use it to fit a CAPM and other financial calculations.
However, automated tasks such as fitting a CAPM for multiple stocks would require
them to learn either Excel macro programming or some type of econometric software.

c 2013 StataCorp LP dm0070

604 fetchportfolio, fetchcomponents, and fetchyahoooptions

Recently, Stata has become the popular choice of academics and students, perhaps
because of its user friendliness and abundant resources.
This article is of interest to finance instructors, students, and investors.1 It entails
lecture notes to teach different criteria for portfolio selection, diversification, and op-
tions. It shows how some of the most common statistics are calculated. It provides
fast and easy commands to repeat these tasks during a study session or a lecture using
Stata. It enables finance instructors to assign projects using real-life data and to spend
time on interpretations and on methods proportional to their importance. The provided
procedures are also useful for investors (for educational purposes): using real financial
data, they can compare their investment choices to achieve portfolio objectives.
The initial step is to obtain a list of stocks that make up the Dow Jones Com-
posite Index. For this task, a new Stata command is used: fetchcomponents. The
second step is to download historic prices for these stocks using the Stata command
fetchyahooquotes (Dicle and Levendis 2011). Using the same command, I download
Fama–French factors to fit a multifactor CAPM (Fama and French 1992, 1993). The
third step is to calculate the average daily returns, total returns, standard deviation of
daily returns, Sharpe (1970) measure, and Treynor (1965) measure. In this step, multi-
factor CAPM following Fama and French (1992, 1993) is also estimated for each stock.
Another new Stata command is used to automate this process: fetchportfolio. The
fourth step is to interpret the results. The final step is to introduce the idea of hedging
portfolio risk by using fetchyahoooptions to download options data for a few stocks.
Their implied volatilities are calculated and graphed.

2 Components of Dow Jones Composite Index

A list of stocks that make up the Dow Jones Composite Index (DJA) is provided by
Yahoo! Finance.2 A new command, fetchcomponents, downloads this list to a Stata
variable that contains the ticker symbols.

1. This article and associated Stata codes are for educational use. There is no direct or implied
financial advice. While every effort is made for accuracy and reliability, the data and the results
may not be accurate or reliable.
2. Available through http://finance.yahoo.com/q/cp?s=ˆDJA+Components.
M. F. Dicle 605

. fetchcomponents, symbol(^DJA) page(1)

Page: 0
Page: 1
. describe
Contains data
obs: 65
vars: 1
size: 260

storage display value

variable name type format label variable label

Symbol str4 %9s

Sorted by: Symbol

Note: dataset has changed since last saved

2.1 Definition
fetchcomponents downloads the list of components for an index. A list of stocks and
components is provided by Yahoo! Finance 50 at a time. Each page of 50 is defined by
the option page.

2.2 Syntax
 
fetchcomponents, symbol(string) page(#)

2.3 Options
symbol(string) specifies the symbol of the index for which the user wants to download
the components (that is, ^NYA). There can be only one symbol defined, which must
be an index. symbol() is required.
page(#) specifies the number of pages for the list of components (starts from zero).
Because the list of components is provided in batches of 50, it may take several pages
to download the entire list (that is, for ^NYA, there are 0 to 38 pages).

3 Historic stock prices

Daily stock prices are downloaded from Yahoo! Finance.3 Daily Fama–French factors
are downloaded from Kenneth R. French’s website.4 The Stata code for downloading
and preparing the data for the study is fetchyahooquotes.

3. Available through http://finance.yahoo.com/.

4. Available through http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data library.html.
606 fetchportfolio, fetchcomponents, and fetchyahoooptions

. levelsof Symbol, local(tickers) clean

AA AEP AES ALK AXP BA BAC CAT CHRW CNP CNW CSCO CSX CVX D DAL DD DIS DUK ED EIX
> EXC EXPD FDX FE GE GMT HD HPQ IBM INTC JBHT JBLU JNJ JPM KEX KO KSU LSTR LUV
> MATX MCD MMM MRK MSFT NEE NI NSC PCG PEG PFE PG R SO T TRV UAL UNH UNP UPS
> UTX VZ WMB WMT XOM
. fetchyahooquotes `tickers´, freq(d) chg(per) start("01jan2010")
> end("31dec2011") ff3
Fama/French daily factors are downloaded from ´Kenneth R. French - Data Library´.
AA is downloaded.
AEP is downloaded.
AES is downloaded.
(output omitted )
WMB is downloaded.
WMT is downloaded.
XOM is downloaded.
time variable: date, 04jan2010 to 30dec2011, but with gaps
delta: 1 day
(0 observations deleted)
(0 observations deleted)
. describe
Contains data from temporary_AA.dta
obs: 504
vars: 133 25 Apr 2013 10:41
size: 278,208

storage display value

variable name type format label variable label

date double %td

adjclose_AA float %9.0g Adj Close
per_AA float %9.0g Percentage change for AA
adjclose_AEP float %9.0g Adj Close
per_AEP float %9.0g Percentage change for AEP
adjclose_AES float %9.0g Adj Close
per_AES float %9.0g Percentage change for AES
(output omitted )
adjclose_WMB float %9.0g Adj Close
per_WMB float %9.0g Percentage change for WMB
adjclose_WMT float %9.0g Adj Close
per_WMT float %9.0g Percentage change for WMT
adjclose_XOM float %9.0g Adj Close
per_XOM float %9.0g Percentage change for XOM
ff3_Mkt_RF double %10.0g
ff3_SMB double %10.0g
ff3_HML double %10.0g
ff3_RF double %10.0g

Sorted by: date

Note: dataset has changed since last saved
M. F. Dicle 607

4 Calculating financial statistics and fitting a multifactor

CAPM
The formula for fitting a multifactor CAPM (Fama and French 1992, 1993) is as follows:

ri,t − rf,t = α + β(rm,t − rf,t ) + γ(SM Bt ) + θ(HM Lt ) + ǫt (1)

A new command, fetchportfolio, fits the multifactor CAPM and other financial
statistics for all the stocks that constitute the DJA. CAPM estimations are based on the
daily percentage change of dividend- and split-adjusted closing prices.

. fetchportfolio `tickers´, year(2010 2011)

Fama/French daily factors are downloaded from ´Kenneth R. French - Data Library´.
AA is downloaded.
AEP is downloaded.
AES is downloaded.
(output omitted )
WMB is downloaded.
WMT is downloaded.
XOM is downloaded.
time variable: date, 04jan2010 to 30dec2011, but with gaps
delta: 1 day
(3965 observations deleted)
(140 observations deleted)
. describe
Contains data from temp_00001_2010.dta
obs: 64
vars: 27 25 Apr 2013 10:49
size: 6,912

storage display value

variable name type format label variable label

Symbol str4 %9s

Beta_2010 float %9.0g Multifactor CAPM Beta
R2_2010 float %9.0g Multifactor CAPM R-squared
Sum_2010 float %9.0g Total return for the year
(includes dividend yield).
Sd_2010 float %9.0g Standard deviation of daily
returns for the year.
Mean_2010 float %9.0g Average daily return for the year.
Mean_rf_2010 float %9.0g Average daily return for the year
minus average risk-free rate.
Dividends_2010 float %9.0g Dividend yield for the year.
Beta_2011 float %9.0g Multifactor CAPM Beta
R2_2011 float %9.0g Multifactor CAPM R-squared
Sum_2011 float %9.0g Total return for the year
(includes dividend yield).
Sd_2011 float %9.0g Standard deviation of daily
returns for the year.
Mean_2011 float %9.0g Average daily return for the year.
Mean_rf_2011 float %9.0g Average daily return for the year
minus average risk-free rate.
Dividends_2011 float %9.0g Dividend yield for the year.
Mean_sd_2010 float %9.0g Mean daily return / Standard
608 fetchportfolio, fetchcomponents, and fetchyahoooptions

deviation of daily returns

Sharpe_2010 float %9.0g (Mean daily return - mean
risk-free rate) / Standard
deviation of daily returns
Sum_sd_2010 float %9.0g Total return (includes dividend
yield) / Standard deviation of
daily returns
Mean_Beta_2010 float %9.0g Mean daily return / Multifactor
CAPM Beta
Treynor_2010 float %9.0g (Mean daily return - mean
risk-free rate) / Multifactor
CAPM Beta
Sum_Beta_2010 float %9.0g Total return (includes dividend
yield) / Multifactor CAPM Beta
Mean_sd_2011 float %9.0g Mean daily return / Standard
deviation of daily returns
Sharpe_2011 float %9.0g (Mean daily return - mean
risk-free rate) / Standard
deviation of daily returns
Sum_sd_2011 float %9.0g Total return (includes dividend
yield) / Standard deviation of
daily returns
Mean_Beta_2011 float %9.0g Mean daily return / Multifactor
CAPM Beta
Treynor_2011 float %9.0g (Mean daily return - mean
risk-free rate) / Multifactor
CAPM Beta
Sum_Beta_2011 float %9.0g Total return (includes dividend
yield) / Multifactor CAPM Beta

Sorted by: Symbol

Note: dataset has changed since last saved

4.1 Definition
fetchportfolio estimates and calculates financial statistics to compare financial se-
curities for portfolio selection. fetchyahooquotes is needed for fetchportfolio to
run.

4.2 Syntax

fetchportfolio namelist, year(numlist)

namelist is a list of ticker symbols for which the statistics are calculated and a CAPM
is fit. Symbols are separated by spaces.

4.3 Option
year(numlist) is a list of years for which the statistics are calculated and a CAPM is fit.
Years are separated by spaces.
M. F. Dicle 609

5 Interpreting results
5.1 Multifactor CAPM Beta
. list Symbol Beta* R2*

Symbol Bet~2010 Bet~2011 R2_2010 R2_2011

1. AA 1.405193 1.545471 .5650427 .7981184

2. AEP .7943012 .6373942 .5562428 .5718821
3. AES 1.257982 1.262856 .5833274 .7186341
4. ALK 1.468361 .9333242 .4253781 .5818244
5. AXP 1.250965 1.164087 .6207132 .7460121

(output omitted )

61. VZ .6491743 .6290471 .3628424 .5334482

62. WMB 1.230148 1.400854 .6391539 .6731739
63. WMT .6216294 .5254323 .3249495 .4530556
64. XOM .9589896 .9934663 .7284095 .7589387

The analysis is performed on the list of stocks that make up the DJA. There are a
total of 65 stocks. For the purpose of compactness, results are provided for 10 of these
65 stocks. In the table above, there are two columns for each year: Beta and R2. Beta
is the Beta estimated with (1). R2 refers to the R-squared for the same regression. A
CAPM is fit for each stock separately for 2010 and 2011. Higher Beta5 means higher
market risk for each stock. Higher R-squared means more of the variation of daily
stock returns is explained by the controlled independent variables: market risk, small-
minus-big, and high-minus-low. As Beta increased from 2010 to 2011, we can conclude
that the stocks’ market risk increased. As R-squared increased from 2010 to 2011, we
can conclude that the uncontrolled factors (that is, company-specific risks) became less
important factors to explain the variation of daily returns.

5. Absolute value of the Beta.

610 fetchportfolio, fetchcomponents, and fetchyahoooptions

5.2 Total return

. list Symbol Sum_20*

Symbol Sum_2010 Sum_2011

1. AA -5.674569 -43.91911
2. AEP 13.75836 25.34019
3. AES -10.90641 -5.622488
4. ALK 62.59323 29.71666
5. AXP 8.655738 12.01655
(output omitted )

61. VZ 21.74054 21.91481

62. WMB 20.21237 40.64208
63. WMT 4.188481 15.37066
64. XOM 11.46432 18.8829

Total return is the percentage change in split- and dividend-adjusted closing prices
from the first day to the last day of the period plus the dividend yield for the year.
The figures are in percentages (that is, AA’s return for 2010 was −5.67%, whereas it was
−43.92% for 2011).

5.3 Total risk

. list Symbol Sd_20*

Symbol Sd_2010 Sd_2011

1. AA 2.349188 2.711182
2. AEP 1.045383 1.196054
3. AES 2.305197 2.168423
4. ALK 2.611011 2.442996
5. AXP 2.066332 1.918625

(output omitted )

61. VZ 1.043751 1.217522

62. WMB 2.08644 2.435364
63. WMT .8757704 1.045985
64. XOM 1.132489 1.597168
M. F. Dicle 611

Total risk is the standard deviation of daily returns. Standard deviation of daily
returns is based on the daily percentage change of dividend- and split-adjusted closing
prices. It is interpreted as the combination of systemic and unsystemic risks.

5.4 Sharpe measure

. list Symbol Sharpe_20*

Symbol Shar~2010 Shar~2011

1. AA -.0001682 -.0693872
2. AEP .0343362 .0683895
3. AES -.008775 .0056541
4. ALK .0870246 .0578227
5. AXP .0226696 .0323365

(output omitted )

61. VZ .0560282 .0605425

62. WMB .0400964 .0636963
63. WMT .0114429 .0543649
64. XOM .0340558 .0504581

The formula for the Sharpe measure is as follows: Sharpe = (mean daily return −
mean risk-free rate)/standard deviation of daily returns. Mean daily returns are based
on the daily percentage change of dividend- and split-adjusted closing prices. Therefore,
the higher the ratio, the higher the mean return per level of standard deviation (total
risk).

5.5 Treynor measure

. list Symbol Treynor_20*

Symbol Trey~2010 Trey~2011

1. AA -.0002812 -.1217243
2. AEP .04519 .1283311
3. AES -.0160798 .0097086
4. ALK .1547454 .1513523
5. AXP .0374454 .0532964

(output omitted )

61. VZ .0900828 .1171802

62. WMB .068007 .1107351
63. WMT .0161211 .1082249
64. XOM .0402171 .0811201
612 fetchportfolio, fetchcomponents, and fetchyahoooptions

The formula for the Treynor measure is as follows: Treynor = (mean daily return −
mean risk-free rate)/multifactor CAPM Beta. As in the Sharpe measure, the higher the
ratio, the higher the mean return for the level of Beta (market risk).

6 Importing options data

Yahoo! Finance provides free financial data for public use. While historical prices for
most financial assets, as well as some important statistics, can be downloaded using
Yahoo! Finance’s application programming interface,6 some data are only available
through webpages. These important data can be accessed via web browsers. How-
ever, to access the data as Stata-usable data, one needs to parse these webpages.7 Stata
has a powerful and fast programming language: Mata. Even though it is intended as
a matrix programming language, it has hypertext transfer protocol support, regular
expressions, and extensive string functions. It allows the newly introduced command
fetchyahoooptions to fetch the Yahoo! Finance options page, to parse the page, and
to process its contents to make them usable as Stata data. fetchyahoooptions also
calculates implied volatility for downloaded options using Black and Scholes’s (1973)
option pricing formula following (2), (3), (4), and (5).
Unlike equity prices, options data are not easily accessible for everyone as usable
data. They are an important free service that Yahoo! Finance offers for public use.
Options data are important for finance lecturers to use in their classes and teaching
notes. They are important for researchers of financial derivatives. Although options
data are only current and historical time series are not available, they can be accessed
daily and stored to create a time series. Options data are also important for investors
(for educational purposes). The implied volatility allows investors to have a sense of
expected volatility in the market and may allow investors to predict market direction.

6.1 Syntax
 
fetchyahoooptions namelist, m(string) iv(real)

namelist specifies a list of ticker symbols for which the options are parsed and down-
loaded from Yahoo! Finance’s options webpage. Symbols are separated by spaces.

6.2 Options
m(string) specifies the month in which the options expire (that is, 2011-12). Multiple
maturity months can be included (that is, 2011-12 2012-01). m() is required.

6. Stata commands fetchyahooquotes and fetchyahookeystats use Yahoo! Finance’s application

programming interface to download historical prices and key statistics.
7. Parsing Hypertext Markup Language (HTML) pages is a common practice; some programming
languages, such as PHP and Java script, provide extensive language support. There is a regular
expressions parsing language that is adopted by most web programming languages.
M. F. Dicle 613

iv(real) specifies the calculated implied volatility using Black and Scholes’s (1973)
option pricing formula (that is, iv(0.0001)) following (2), (3), (4), and (5). It uses
a trial-and-error method to loop through levels of volatilities to calculate a call or
put option price that matches the ask price. User-supplied increment is used for the
loop. As the increment gets smaller, the loop will take longer. Implied volatility is
calculated separately for each strike price.
n 2
o
ln(S0 /K) + (rf + σ2 )T
d1 = √ (2)
σ T
√
d2 = d1 − σ T (3)
c = S0 N (d1 ) − Ke−rf T N (d2 ) (4)
−rf T
p = Ke N (−d2 ) − S0 N (−d1 ) (5)

In these equations, S0 refers to the spot price of the underlying security, K to the
strike price, rf to the risk-free rate,8 σ to the standard deviation, and T to the years to
maturity.

6.3 HTML source code to Stata data transformation

Yahoo! Finance9 provides current prices of options for individual stocks through HTML
pages. fetchyahoooptions uses Mata to access Yahoo! Finance options pages, parse
them into string variables, and turn them into usable Stata data. The following are
some of the processes that fetchyahoooptions uses.
The following Mata function is used to get the HTML source code from the web as a
string.

string file_get_contents (string scalar raw)

{
fh = fopen(raw, "r")
raw=""
while ((line=fget(fh))!=J(0,0,"")) {
raw=raw+line
}
fclose(fh)
return (raw)
}

8. For the risk-free rate, fetchyahoooptions downloads the current ˆIRX, the 13-week U.S. Treasury
Bill yield index, from Yahoo! Finance.
9. For example, http://finance.yahoo.com/q/op?s=IBM+Options.
614 fetchportfolio, fetchcomponents, and fetchyahoooptions

The following Mata function parses the current price of the underlying asset for the
option.

string get_price (string scalar raw, string scalar ticker)

{
bas_pos = strpos(strlower(raw), "<span id=" + char(34) + "yfs_l10_"
+ strlower(ticker) + char(34) + ">") + strlen(ticker) + 20

if (bas_pos<100) bas_pos = strpos(strlower(raw), "<span id=" + char(34)

+ "yfs_l84_" + strlower(ticker) + char(34) + ">") + strlen(ticker) + 20
if (bas_pos>100) {
output = substr (raw, bas_pos, .)
son_pos = strpos(strlower(output), "</span>")
output = substr (output, 1, son_pos-1)
}
if (bas_pos<100) output = cat("http://download.finance.yahoo.com/d/quotes.csv?s="
+ ticker + "&f=l1")
return (output)
}

A check is necessary to see whether the options table exists.

real check_table (string scalar raw, string scalar aranan)

{
kalan = strpos(strlower(raw), strlower(aranan))
return (kalan)
}

Options data are within the HTML table. At this point, the options table needs to
be parsed.

string get_table (string scalar raw, string scalar tag, string scalar aranan)
{
kalan = strlower(raw)
while (strpos(kalan, "<" + strlower(tag)) < strpos(kalan, strlower(aranan))) {
kalan = substr (kalan, strpos(kalan, "<" + strlower(tag)) + 2
+ strlen(tag), .)
}
kalan = "<" + strlower(tag) + " " + kalan
son_pos = strpos(kalan, "</" + strlower(tag))
kalan=substr(kalan, 1, son_pos + 2 + strlen(tag))
return (kalan)
}
M. F. Dicle 615

The above functions are called in the following order.

void get_options (string scalar symbol, string scalar month)

{
icerik = file_get_contents("http://finance.yahoo.com/q/op?s=" + symbol
+ "&m=" + month)
price = get_price(icerik,symbol)
isthere = check_table (icerik,"Strike")
if (isthere) {
tablo = get_table (icerik,"table","Strike")
tablo2 = get_table2 (icerik,"table","Strike")
bos=table_data (tablo + tablo2)
}
stata("gen Price = " + price)
icerik_rf = file_get_contents("http://finance.yahoo.com/q?s=^IRX")
price_rf = get_price(icerik_rf,"^IRX")
stata("gen IRX = " + price_rf)
}

The remaining string is parsed for individual HTML tags such as <td>, <tr>, <br>,
etc. Parsing is lengthy and can be accessed through the fetchyahoooptions.ado file.
Parsing is not shown here to conserve space.
The entire HTML source code downloaded from Yahoo! Finance is parsed into a single
string using Mata. The string table that contains the options data has HTML tag <td>,
which can be used as a line break that can then be converted into a Stata observation.
The following Stata code is used for this string split.

split myvar, parse("</td>") gen(mfd)

The resulting dataset contains eight variables: Strike, Symbol, Last, Change, Bid,
Ask, Volume, and Open Interest.

6.4 Using fetchyahoooptions to fetch equity options data

⊲ Example
Here options data are downloaded for IBM and GOOG using fetchyahoooptions for
the closest maturity (April 2013) and the next closest maturity (May 2013). The pro-
gram will also calculate the implied volatility.

. fetchyahoooptions GOOG IBM, m(2013-04 2013-05 2013-06) iv(0.0001)

Options data for GOOG (2013-04) are downloaded.
Options data for GOOG (2013-05) are downloaded.
Options data for GOOG (2013-06) are downloaded.
Options data for IBM (2013-04) are downloaded.
Options data for IBM (2013-05) are downloaded.
Options data for IBM (2013-06) are downloaded.
616 fetchportfolio, fetchcomponents, and fetchyahoooptions

. twoway (line IV Strike) if (Type=="Call") & (Underlying=="GOOG") &

> (Maturity==date("22jun2013","DMY"))

1
.8
Implied Volatility
.6
.4
.2

400 600 800 1000 1200

Strike

Figure 1. Implied volatility for each strike price

7 Acknowledgments
I thank Jiad Alqotob, College of Business, Loyola University, New Orleans, for his valu-
able comments during the creating of the fetchyahoooptions command. I also thank
Ashton Verdery, Department of Sociology, University of North Carolina at Chapel Hill,
for suggesting an improvement (implemented as suggested) in the fetchyahoooptions
command to make it more reliable.

8 References
Black, F., and M. Scholes. 1973. The pricing of options and corporate liabilities. Journal
of Political Economy 81: 637–654.

Dicle, M. F., and J. Levendis. 2011. Importing financial data. Stata Journal 11: 620–
626.

Fama, E. F., and K. R. French. 1992. The cross-section of expected stock returns.
Journal of Finance 47: 427–465.

———. 1993. Common risk factors in the returns on stocks and bonds. Journal of
Financial Economics 33: 3–56.
M. F. Dicle 617

Lintner, J. 1965. The valuation of risk assets and the selection of risky investments in
stock portfolios and capital budgets. Review of Economics and Statistics 47: 13–37.

Sharpe, W. F. 1964. Capital asset prices: A theory of market equilibrium under condi-
tions of risk. Journal of Finance 19: 425–442.

———. 1970. Portfolio Theory and Capital Markets. New York: McGraw–Hill.

Treynor, J. L. 1965. How to rate management of investment funds. Harvard Business

Review 43: 63–75.

About the author

Mehmet F. Dicle is an assistant professor of finance at Loyola University New Orleans.