68 citations · 110 across the 6 of their papers we have counts for
6 papers
The case of 'Less is more': Modelling risk-preference with Expected Downside Risk
Mihaly Ormos, Dusan Timotity
This paper discusses an alternative explanation for the empirical findings contradicting the positive relationship between risk (variance) and reward (expected return). We show tha…
Non-parametric and semi-parametric asset pricing
Peter Erdos, Mihaly Ormos, David Zibriczky
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. Furth…
Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring
Mihaly Ormos, Dusan Timotity
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 pric…
Market Microstructure During Financial Crisis: Dynamics of Informed and Heuristic-Driven Trading
Mihaly Ormos, Dusan Timotity
We implement a market microstructure model including informed, uninformed and heuristic-driven investors, which latter behave in line with loss-aversion and mental accounting. We s…
Generalized asset pricing: Expected Downside Risk-Based Equilibrium Modelling
Mihaly Ormos, Dusan Timotity
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 o…
Entropy-Based Financial Asset Pricing
Mihaly Ormos, David Zibriczky
We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory…