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Multivariate tests of asset pricing : simulation evidence from an emerging market

Iqbal, Javed; Brooks, Robert; Galagedera, Don U. A. - In: Applied financial economics 20 (2010) 4/6, pp. 381-395

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...

Persistent link: https://www.econbiz.de/10003963264

Testing conditional asset pricing models : an emerging market perspective

Iqbal, Javed; Brooks, Robert; Galagedera, Don U. A. - In: Journal of international money and finance 29 (2010) 5, pp. 897-918

Persistent link: https://www.econbiz.de/10003989924

Multivariate tests of asset pricing : simulation evidence from an emerging market

Iqbal, Javed (contributor); Brooks, Robert (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003778328

Testing conditional asset pricing models : an emerging market perspective

Iqbal, Javed (contributor); Brooks, Robert (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003778329

Is systematic downside beta risk really priced? : Evidence in emerging market data

Galagedera, Don U. A.; Brooks, Robert - 2005

Persistent link: https://www.econbiz.de/10003048166

Conditional relation between systematic risk and returns in the conventional and downside frameworks : evidence from the Indonesian market

Nurjannah; Galagedera, Don U. A.; Brooks, Robert - In: Journal of emerging market finance 11 (2012) 3, pp. 271-300

Persistent link: https://www.econbiz.de/10010380791

Relationship between downside risk and return : new evidence through a multiscaling approach

Galagedera, Don U. A.; Maharaj, Elizabeth Ann; Brooks, … - In: Applied financial economics 18 (2008) 18/21, pp. 1623-1633

Persistent link: https://www.econbiz.de/10003800192

Is co-skewness a better measure of risk in the downside than downside beta? : evidence in emerging market data

Galagedera, Don U. A.; Brooks, Robert - In: Journal of multinational financial management 17 (2007) 3, pp. 214-230

Persistent link: https://www.econbiz.de/10003499625

Testing Asset Pricing Models in Emerging Markets: An Examination of Higher Order Co-Moments and Alternative Factor Models

Iqbal, Javed; Brooks, Robert; Galagedera, Don UA - 2007

For emerging market returns there is strong evidence that the departure from normality is primarily driven by kurtosis and not skewness. This paper investigates the empirical validity of a return generating process that includes quadratic and cubic market returns as factors of pricing for an...

Persistent link: https://www.econbiz.de/10015223131

Robust Tests of the Lower Partial Moment Asset Pricing Model in Emerging Markets

Iqbal, Javed; Brooks, Robert; Galagedera, Don UA - 2007

This paper tests and compares the CAPM of Black (1972) and the Mean Lower Partial Moment (MLPM) Capital Asset Pricing Model of Bawa and Lindenberg (1977) and Harlow and Rao (1989) in the context of emerging markets. It is well known that returns in emerging markets are non-normal and have...

Persistent link: https://www.econbiz.de/10015223343