The systematic risk is considered as one of the most important factors that influence the investment in financial assets. Usually, it is evaluated in the framework of the Capital Asset Price Model. The systematic risk associated to firm equities is affected by some firm’s characteristics,...

This paper investigates the existence of the monthly effects on the Romanian Stock Exchange. We employ the returns of the main indices and the trading volume and the trading values from the main components of the Bucharest Stock Exchange. We find different forms of monthly seasonality...

The CAPM - beta is one of the most used tools to estimate the systematic risks associated to stock. In the last decades different behaviours of beta were revealed for the circumstances of the bull and the bear markets. This paper analyses the CAPM – beta responses for bad and good news for ten...