Previous research suggests that investor sentiment has an influence on the market s risk-return trade-off. Noise traders demand for assets is considered to be risk independent and, as a result, risky assets do not offer a risk premium when demand is high. We show that market risk is only a...

Recent work in management accounting offers several novel insights into firms’ cost behavior. This study explores whether financial analysts appropriately incorporate information on two types of cost behavior in predicting earnings - cost variability and cost stickiness. Since analysts’...

The recent financial crisis has highlighted the fragility of the US financial system under several respects. In this paper, the properties of a summary index of financial fragility, timely capturing changes in credit and liquidity risk, distress in the mortgage market, and corporate default...

We develop a macroeconomic behavioral model in order to analyze the interactions between real and financial markets. The real subsystem is represented by a simple Keynesian income-expenditure model, while the financial subsystem is represented by an equilibrium stock market with heterogeneous...

Models based on the representative agent assumption cannot rationalize observed equity premia. In response to this, exchange economy models have introduced agents heterogeneity, typically in the form of bond and equity holders. We reconsider the issue introducing Limited Asset Market...

This study contributes to the investigation of the macro-finance interface by assessing the economic content and risk based interpretation of widely employed risk factors in the specification of empirical asset pricing models, i.e., Fama-French size and value, and Carhart momentum factors, as...

In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage property. We show that prices are coherent if and only if...

The paper outlines the challenges that a multi-pillar functional pension system may bring, considering the current state of development of the Romanian financial system, considering the macroeconomic stability, the current financial infrastructure and the existence of a regulatory and...

This paper continues the series of researches about the paradoxes of modern stock exchange markets and their impact on the real economy, addressing this time the most important technical anomalies but also fundamental anomalies, which can be observed on the financial markets. As we mentioned in...