This paper empirically examines the well-known Chen-Roll-Ross model on the Croatian stock market. Modifications of definitions of the Chen-Roll-Ross model variables showed as necessary because of doubtful availability and quality of input data needed. Namely, some macroeconomic and market...

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We...

The purpose of this paper is to examine the holiday effect in Thailand. The holiday effect is the phenomenon in which the stock returns are abnormally high before holidays. There is no complete explanation for this phenomenon though there are many studies that state that the holiday effect has...