The finite sample performance of the Wald, Generalized Method of Moment (GMM) and Likelihood Ratio (LR) tests of multivariate asset pricing tests have been investigated in several studies on the US financial markets. This article extends this analysis in two important ways. Firstly, considering...

Several studies advocating safety first as a major concern to investors propose downside beta risk as an alternative to the traditional systematic risk- beta. Downside measures are concerned with a subset of the data and therefore the results in the studies that consider the downside beta only...

In this paper, the volatility of the return generating process of the market portfolio and the slope coefficient of the market model is assumed to follow a Markov switching process of order one. The results indicate very strong evidence of volatility switching behaviour in a sample of returns in...

In this cross-sectional study, equity market performance is assed in a multidimensional risk-adjusted return framework using a non-parametric procedure known as data envelopment analysis (DEA). In the DEA model, several risk measures are considered as input and average return is considered as...

This study examines in the cross-section the association between excess return and systematic risk measured in the downside framework. Two measures of risk in the downside namely downside beta and downside co-skewness are investigated. Both these measures perform poorly in developed markets...