The paper is concerned with the question whether the pricing of U.S. stocks has been efficient according to the present value model. We extended the MTAR-model used in the context of market efficiency using a rolling window estimation strategy. This rolling MTAR-analysis revealed that the...

This paper examines to what extent the momentum spread ratio (MSR) can predict momentum profits. The momentum spread ratio as a potential proxy of investor underreaction can significantly predict the momentum, industry momentum, and residual momentum, especially after 1994, suggesting that...

This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve...