The systematic risk is considered as one of the most important factors that influence the investment in financial assets. Usually, it is evaluated in the framework of the Capital Asset Price Model. The systematic risk associated to firm equities is affected by some firm’s characteristics,...

Romanian Abstract: În fundamentarea deciziilor financiare pot surveni percepţii eronate asupra unor aspecte esenţiale precum riscul sau profitabilitatea. Iluziile asociate deciziilor asupra îndatorării au unele particularităţi, cauzate în special de cunoştinţele financiare precare ale...

The systematic risk is considered as one of the most important factors that influence the investment in financial assets. Usually, it is evaluated in the framework of the Capital Asset Price Model. The systematic risk associated to firm equities is affected by some firm's characteristics, among...

Monthly seasonality in the stock prices returns is among the best known calendar anomalies that affect the capital markets. The knowledge about such calendar patterns could be exploited in building successful investment strategies. However, it was revealed that not all the calendar anomalies...

This paper investigates the presence of Gone Fishin’ Effects on the Romanian Capital Market from January 2000 to July 2013. In this analysis we employ daily values of five main indexes of Bucharest Stock Exchange. We use GARCH models to reveal this seasonality not only on indexes returns but...

Efficient Market Hypothesis states that financial markets react instantaneous and unbiased to new information. However, in the last decades empirical researches revealed some anomalies in investors reactions to the events that caused shocks on the financial markets. There are two main hypotheses...

This paper explores the changes in the daily seasonality of the Romanian foreign market from January 2005 to February 2010. Our investigation employs data from the prices in the Romanian national currency, of the two main currencies used in the financial transactions: euro and US dollar. For the...

The adhesion to the European Union represented a turning point for the Romanian capital market. Before the adhesion Bucharest Stock Exchange experienced a relatively quiet period which lasted for many years. Instead, after Romania had became member of the European Union the capital market...

In the last decades the specialized literature revealed the seasonal effects on the financial markets evolution. Among them there is the day – of – the – week effect, which consists in significant differences from the average returns on some days of the week than others. This paper...

The persistence in time of the calendar anomalies is one of the most disputed subjects from the financial literature. Quite often, the passing from quiet to turbulent periods of time provokes radical changes in the investors’ behaviors which affect the stock markets seasonality. In this paper...