The assumption that equity returns follow the normal distribution, most commonly made in financial economics theory and applications, is strongly rejected by empirical evidence presented in this paper. As it was found in many other studies, we confirm that stock returns follow a leptokurtic...

Finance and macroeconomics have different perspectives on the yield curve. In the case of Bosnia and Herzegovina, specific context, data issue and financial market that is in its developing phase, do not allow us to have one, unique perspective. The Nelson-Siegel yield curve model could be...

World financial centers have an impact on the economies around the world. This particularly applies for the US equity market. Transactions which are performed on the US market define market trends in most of the world's financial markets, the only question that arises "is to what extent"....

Common stock valuation presents one of the most complex tasks in financial analysis. When it attempts to answer on question: 'what causes stock price movements? 'Then the answer would not relate only on economic factors. There are numerous factors that affect the stock price and they are almost...

The main task of this paper is to determine accuracy of some of widely used technical analysis techniques for MBI-10 stocks price forecast at MSE. We are testing accuracy of several technical analysis techniques: MACD (Moving-Average Convergence/Divergence), RSI (Relative Strength Index),...

The work of Haugen and Baker (1991) and Grinold (1992) has shown that market capitalisation-weighted indices are not mean-variance efficient. Further research by Amenc, Goltz, and Le Sourd (2006) proves that even naïve equal weighting can offer a better risk to return trade-off to investors in...

This paper examines the possibility of applying two most popular parametric yield curve models (Nelson-Siegel and Svensson) in the Croatian financial market. In such an illiquid and undeveloped financial market yield curve modeling presents a special challenge primarily regarding the available...

Investment professionals, particularly financial analysts or security analysts evaluate securities and try to determine characteristics of securities and to identify mispriced securities. For that purpose they use different models to estimate the intrinsic value of the common stocks. Traditional...

The paper examines the possibility of yield curve estimation in the illiquid Croatian financial market using the parametric Nelson-Siegel model. Furthermore bond trading strategies are being discussed regarding the estimated model parameters. Research findings suggest a minimum of 5 data points...

We examine the valuation performance of Discounted Free Cash Flow Model (DFCF) at the Macedonian Stock Exchange (MSE) in order to determine if this model offer significant level of accuracy and relevancy for stock values determination. We find that stock values calculated with DCF model are very...