Purpose: This article deals with the retail investors' decision-making under risk, firstly addressing several theories of decision-making under risk. Following this theoretical framework, an analysis on investment strategies on the Croatian capital market has been conducted....

Modern portfolio theory is one of the most important investment decision tools in finances. In 1952 Harry Markowitz set the foundations of the Modern portfolio theory, since than this theory was a backbone of many studies that dealt with investment decisions. This research applies mean-variance...

An efficient market should not show any anomalies. When new information reaches a market which is efficient, it should automatically translate into prices of assets, which ought to eliminate the possibility of gaining an advantage over other investors, thus preventing excess profits. However,...

This paper aims to examine whether the market timing strategy with Gilt-Equity Yield Ratio or GEYR can create abnormal returns in Thai Stock market. The trading rules using GEYR are established and switching strategies between bonds and equities are implemented. The out-of-sample profitability...

In this paper we investigate sources and characteristics of value, size and momentum profits on the Polish stock market. The research aims to broaden the academic knowledge in a few ways. First, we deliver fresh out-of-sample evidence on value, momentum, and size premiums. Second, we analyzemthe...

This study aimed to a stock portfolio formed with composite of companies market (PER, PBV, ROE, EPS, PSR, and B/M, VaR) and accounting performance (ROE, and EPS) also their market capitalization in Indonesia Stock Exchange period 2003-2006. Some clarification need to achieved, such as: real...

The accrual information is discussed in light of multifactor factor asset pricing theory. It is argued that the capital market processes information efficiently, and that low accruals firms are risky and therefore earn higher average returns. In other words, the level of accruals proxies for the...

This study examines empirically the Fama and French three factor model of stock returns using Indonesian data over 2003-2006 period. Specifically, it examines the behavior of stock prices, in relation to size (market equity, ME) and book-to-market ratio. The major objective of this study is to...

Many theories of portfolio management have been yet presented. In this research, we survey the efficiency and effectiveness of two well-known theories, the modern theory of portfolio and the postmodern theory of portfolio, by making use of popular ratios of Sharpe and Sterling. We evaluate the...

The aim of this study is to evaluate the functionality and effect of portfolio management of investment companies, which have had the active portfolio in Tehran stock exchange from 2005-2010. In order to do so, and assess their performance based on modern and post modern portfolio theories; this...