Endogenous time discounting is introduced in a two-period human-capital-driven growth model: subjective discount rate depends upon the level of human capital. This assumption accords strongly with the micro-level evidence. In the model an individual optimizes consumption over two periods. Low...

We develop a four-factor model intended to capture size, value, and credit rating transition patterns in excess returns for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US issuers, we provide evidence to support a...

We combine the Critical Cost Efficiency Index and the Houtman Maks Index to evaluate the consistency of subjects in a set of choice data from budgets. We show that by simply allowing subjects for one significant mistake (by removing the worst observation), the mean Critical Cost Efficiency Index...

We contribute to the development of indirect valuation method for publicly traded companies. We introduce relative earning stability as a new dimension of peer selection criteria for determination of appropriate comparable group of peer companies to the evaluated company. Based on large sample...

We study the role of the choice of a fundamental database on the portfolio returns of a set of 74 fundamental anomalies. We benchmark Compustat by comparing it to Datastream in the US and find systematic differences in the raw financial statements across the databases. These differences only...

This paper focuses on two methods for optimum portfolio selection. We compare Mean-Variance method with Mean-VaR method by the means of investment simulation, based on Czech financial market data from turbulent market periods of the year 2007 and the year 2008. We compare both strategies, basing...

This article presents a new approach for building robust portfolios based on stochastic efficiency analysis and periods of market downturn. The empirical analysis is done on assets traded on the Brazil Stock Exchange, B3 (Brasil, Bolsa, Balcão). We start with information on the assets from...