The firm size and value anomalies are the global-level counterpart for explaining the cross-sectional variations of equity returns. The purpose of this paper is to examine the size, value effects and the explanatory power of three well-known pricing models - CAPM, three-and five-factor across...

This paper features an application of Regular Vine copulas which are a novel and recently developed statistical and mathematical tool which can be applied in the assessment of composite financial risk. Copula-based dependence modelling is a popular tool in financial applications, but is usually...

Using leverage to magnify performance is an idea that has enticed investors and traders throughout history. The critical question of when to employ leverage and when to reduce risk, though, is not often addressed. We establish that volatility is the enemy of leverage and that streaks in...

Since the first appearance of the fundamental law of active management, researchers have proposed several directions for its improvement. One important area is in active risk. As the authors explain, instead of using unconditional active risk as a risk estimator, a new source of active risk,...

Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of great importance to theorists and practitioners. Models used to estimate volatility forecasts are translated into better pricing of stocks and better risk management. The aim...