68 citations · 110 across the 6 of their papers we have counts for
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q-fin.RM2017★ 2 cited
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…
q-fin.PR2017★ 7 cited
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…