Modern Portfolio Theory associates the stock market risk with the volatility of return. Volatility is measured by the variance of the returns' distribution. However, the investment community does not accept this measure, since it weights equally deviations of the average returns, whereas most...

Our study examines the presence of the day-of-the-week effect anomaly in the Central and Eastern European stock markets. We consider the Romanian, Hungarian, Latvian, Czech, Russian, Slovakian, Slovenian and Polish stock markets during the period September 22, 1997 to March 29, 2002. Our results...

Modern Portfolio Theory associates the stock market risk with volatility of the return. Volatility is measured by the variance of return but the investment community does not accepted this measure, since it weighs equally the deviations of the average return, while most investors determine the...

We investigate the nature of the Central European stock market volatility before, during and after major emerging market crises. We analyze the Central European Stock Index over the period April 30, 1996 - May 31, 2002. The data is divided into three sample periods - pre-crisis period, crisis...

The study examines the presence of the day-of-the-week effect anomaly in the Central European stock markets. We consider the Romanian, Hungarian, Latvian, Czech, Russian, Slovak, Slovenian and Polish stock markets during the period September 22, 1997 to March 29, 2002. Our results indicated that...

There are numerous studies on the privatisation process in Central and Eastern Europe (CEE) but none of them evaluates the effect of privatisation on bidders' market value. The objective of this research is the determination of the market value changes of several European banks during the time...

This paper is concentrated on those factors which have significant influence over stock returns on five South East Asia markets. Quantifying these factors and accounting for their influence leads to the specific stock return which we call “pure return”. This process is called return...

Models based on economic profit divide the value of the company to “base value” and “added value”. Best-known economic profit models are EVA and Residual income (RIM). Based on them a franchise value approach has been developed.The franchise value model makes two main adjustments: First...

Market timing is preferred path to alpha because it is very simple to implement even by individual investors. In this paper we apply the Hallerbach (2014) methodology to emerging markets from Asia and Eastern Europe. We find that by using volatility-weighted bets we improve significantly the...