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 paper considers multiple measures of risk and return and appraises the performance of equity markets in the cross-section using a non-parametric procedure known as data envelopment analysis (DEA). In the appraisal, measures of risk (return) are treated as input (output) variables of the DEA...

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...

In the multiscaling approach a time series is decomposed into different time horizons referred to as timescales. In this paper we investigate the risk-return relationship in a downside framework using timescales. Two measures of downside risk; downside beta and downside co-skewness are...

This study examines the relationship between real interest rate and real house prices in Malaysia. The analysis covers recent quarterly data from 2001 to 2013. The regression results show a negative effect of real interest rate on the Kuala Lumpur house prices, but it is not the case for the...

In the multiscaling approach, a time series is decomposed into different time horizons referred to as timescales. In this article, we investigate the risk-return relationship in a downside framework using timescales. Two measures of downside risk; downside beta and downside co-skewness are...

This paper investigates the association between portfolio returns and higher-order systematic co-moments at different timescales obtained through wavelet multi-scaling, a technique that decomposes a given return series into timescales enabling investigation at different return intervals. In...

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...