We use information contained in yield spreads to recover investors’ ex ante required rates of return on corporate securities, and then use these ex ante returns to study the pricing of risky assets. Differently from the standard approach, our asset pricing tests do not rely on the use of ex post average equity returns as proxies for expected equity returns. We Þnd that: (i) the market beta play...

We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised of two option positions (one long and one short) and a position in the underlying stock. The assets are created such that exposure to changes in the underlying stock price (delta) and exposure to changes in implied volatility (vega) are removed, isolating the effect of skewness....

We investigate the performance and time varying risk behaviour of Hungarian equity mutual funds by applying modified versions of the four-factor model applying different market proxies. We classify the funds according to their target markets (Hungary, Central and Eastern Europe [CEE], developed markets) and separate bullish and bearish periods. We find no significant excess returns for any circ...

one of the most important concepts in financial statement analysis and evaluation is conservatism. thus recognition of the factors which influence conservatism can considerably help the investor in managing the selection of more conservative assets properly and avoiding the untrue exposure of financial statements. this research is about to consider the relation of effective factors on organizat...

As a consequence of optimal investment choices, a firm’s assets and growth options change in predictable ways. Using a dynamic model, we show that this imparts predictability to changes in a firm’s systematic risk, and its expected return. Simulations show that the model simultaneously reproduces: ~i! the time-series relation between the book-to-market ratio and asset returns; ~ii! the cross-se...