When companies go public to gather financial resources, the stocks they sell in an initial public offering (IPO) tends to be underpriced, resulting in a substantial price jump on the first day of trading. Underpricing of IPO has attracted important researching efforts in the last time. The...

Lawrence Robert Klein played a fundamental role in the genesis and development of econometric applications and forecasting. The work dedicated to forecasting earned him the 1980 Nobel Prize in Economic Sciences "for the creation of econometric models and their application to the analysis of...

The analysis of the comovements of stock market returns was approached with many modeling techniques ranging from the simple and GARCH style dynamic conditional correlation to multivariate GARCH and studies of the bivariate distribution. The quest for the analysis of the now standardized concept...

Stock options are very controversial financial instruments and new disputes arise regarding their introduction into expenses. In this paper we specifically consider the impact of stock option compensation recognition on the stock returns. The fact that there are early adopters of the new...

The importance of Central and Eastern European (CEE) stock markets grew after 1990 as they were gradually used as diversification instruments for the foreign investors as well as due to the general expectation of their integration within the European capital market. This development generated an...

The importance of connections between macroeconomic growth and financial markets is studied for a long time in the academic research. The special case of the developing countries, which is the case of the Central and Eastern European economies highlights this phenomenon even more, as many of...

In the current post-crisis era, the events with the highest probability to move the financial markets are the announcements of financial authorities concerning the quantitative easing decisions. The objective of this paper is to build an analysis of the existence of connections among the GBP...

The tail events represent a phenomenon long studied in the literature of stock market returns. The dynamical properties of conditional distributions are currently analyzed by means of the first four moments via Gram-Charlier likelihood functions. We propose an analysis of changes in the values...

This article studies the convergence of risk on a sample of 13 European indexes. We use a set of 31 model specifications of a significant number of models belonging to the GARCH class and on their estimates we build an aggregate index in a Value-at-Risk approach. We use this index as a base for...

This paper studies the effect of a series of quantitative easing initiatives belonging to the Bank of Japan on Central and Eastern European sovereign CDSs. Using daily data for the 2005 – 2013 period and considering 23 announcements of QE initiatives we build an econometric event study...