We find that the CAPM fails to explain the small firm effect even if its non-parametric form is used which allows time-varying risk and non-linearity in the pricing function. Furthermore, the linearity of the CAPM can be rejected, thus the widely used risk and performance measures, the beta and...

This paper introduces a spectral clustering-based method to show that stock prices contain not only firm but also network-level information. We cluster different stock indices and reconstruct the equity index graph from historical daily closing prices. We show that tail events have a minor...

At present, IPSAS – the International Public Sector Accounting Standards developed by IPSASB (the International Public Sector Accounting Standard Board) – comprises the only internationally recognised system of public sector accounting standards. Although its application is not mandatory for...

The predominantly cash-based accounting and reporting procedures used in higher education institutions in Hungary sig-nificantly diverge from the procedures applicable to businesses. On the other hand, in Anglo-Saxon countries and the majority of EU Member States both of these sectors use...

This paper provides a theoretical explanation for the heteroscedasticity of asset returns. In line with existing empirical results, our model yields an asymmetric relationship between stock return and volatility. Based on the simple assumptions that investors behave according to Prospect Theory...

This paper discusses a novel explanation for asymmetric volatility based on the anchoring behavioral pattern. Anchoring as a heuristic bias causes investors focusing on recent price changes and price levels, which two lead to a belief in continuing trend and mean-reversion respectively. The...

This paper discusses an empirical analysis of the Expected Downside Risk (EDR) based asset-pricing model on Central and Eastern European and Developed Western European markets. The investigated risk measure applies a nonparametric approach that allows getting rid of any assumption on the...

We introduce an equilibrium asset pricing model, which we build on the relationship between a novel risk measure, the Expected Downside Risk (EDR) and the expected return. On the one hand, our proposed risk measure uses a nonparametric approach that allows us to get rid of any assumption on the...