boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

the HML factor. The component of the risk premia explained by consumption varies across size. We suggest that a possible …

In the paper we analyze determinants of the capital market beta risk in Poland in the monthly period 1996-2002. The … beta risk is measured as a time-varying parameter estimated in a regression of the Warsaw stock indexes (WIG and WIG20 … WIG and WIG20 indexes on individual foreign stock market indexes. The beta risk is an average of monthly individual beta …

A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price … stochastic optimal control (SOC)/dynamic risk management is a much more effective approach to determine the optimal degree of … leverage, the optimum and excessive risk and the probability of a debt crisis. The theoretically founded early warning signals …

In a standard financial market model with asymmetric information with a finite number N of risk-averse informed traders … particularly good when the informationally adjusted risk bearing capacity of traders is not very large. This is not the case if … informed traders are close to risk neutral. Both equilibria converge to the competitive equilibrium of an idealized limit …

We consider a two-period market with persistent liquidity trading and risk averse privately informed investors who have …

pricing model with segmentation effects in order to assess stock market segmentation and its effects on risk premia at the … establish that compared to developed market regions, emerging market regions have four main dissimilarities: the total risk … premiums are significantly higher, more volatile, dominated by regional residual risk factors and reflect mostly regional …

In this paper, we construct alternative theoretical models for exchange rates by introducing additional risk factors … macroeconomic sources of FOREX risk may be a missing factor in the exchange rate study. …