We study a pricing model for global and local sources of risk in six Eastern European emerging stock markets. Utilizing GMM estimation and an unconditional asset-pricing framework with and without time-varying betas, we perform estimations based on monthly data from 1996 to 2007 for Poland,...

We study a pricing model for global and local sources of risk in six Eastern European emerging stock markets. Utilizing GMM estimation and an unconditional asset-pricing framework with and without time-varying betas, we perform estimations based on monthly data from 1996 to 2007 for Poland, the...

We study a pricing model for global and local sources of risk in six Eastern European emerging stock markets. Utilizing GMM estimation and an unconditional asset-pricing framework with and without time-varying betas, we perform estimations based on monthly data from 1996 to 2007 for Poland,...

Purpose - The purpose of this paper is to determine the impact of corporate investments in corporate social responsibility (CSR), measured by the environmental, social and government (ESG) rating, on the market valuation of a firm's stocks and to explain the regional differences in the degree of...

The price-demand relationship in the electricity market is a complicated phenomenon. In order to thoroughly investigate the peculiarities of this relationship, a multi-scale correlation analysis of electricity price and demand is carried out in this research. Using a modified method of socalled...

The problem of trend-cyclic component filtering from price time-series arises in many commodity market studies, including those of wholesale electricity market. The long-term component filtering is an important part of price analysis since incorrect determination of this component may result in...

In this research we investigate the problems of dynamic relationship between electricity price and demand over different time scales for two largest price zones of the Russian wholesale electricity market. We use multi-scale correlation analysis based on a modified method of time-dependent...