The CAPM as the benchmark asset pricing model generally performs poorly in both developed and emerging markets. We investigate whether allowing the model parameters to vary improves the performance of the CAPM and the Fama-French model. Conditional asset pricing models scaled by conditioning...

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...

Purpose: This paper estimates the sensitivities of the output of the manufacturing industries of the four Southeast countries (Indonesia, Malaysia, Philippines, Singapore) to both the country-specific and global business cycle fluctuations. The study investigates whether the business cycle...

Purpose: This study aims to estimate and compare the effect of EU and US GSP schemes on the cotton and textile sectors of Pakistan. Design/methodology/approach: The analysis used data from 2003 to 2014 for all the 14 categories of cotton and textile products at two-digit using HS commodity...

This article provides an overview of the main indicators of Pakistan’s stock market development and their possible relevance for real economic activity focusing on the post-liberalisation period. The aspects of the market investigated include liberalisation of the market, integration of...

In business-cycle research, smoothing data is an essential first step to evaluate the extent to which model-generated moments stand up to their empirical counterparts. We put to test McDermott's (1997) modified version of Hodrick and Prescott's (1997) smoothing filter. On the one hand, our...

Irrigation-induced landslide is a recurring problem in the Heifangtai loess platform of northwest China. The landslide sites are characterized by a concave topography. Numerical modeling indicates that the groundwater table at the past-landslide site rises more quickly than the other natural...