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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

Alternative beta risk estimators and asset pricing tests in emerging markets : the case of Pakistan

Iqbal, Javed; Brooks, Robert - In: Journal of multinational financial management 17 (2007) 1, pp. 75-93

Persistent link: https://www.econbiz.de/10003441921

A test of CAPM on the Karachi Stock Exchange

Iqbal, Javed; Brooks, Robert - In: International journal of business 12 (2007) 4, pp. 429-444

Persistent link: https://www.econbiz.de/10003625858

Value-at-risk and expected stock returns : evidence from Pakistan

Iqbal, Javed; Azher, Sara - In: The Lahore journal of economics 19 (2014) 2, pp. 71-100

Persistent link: https://www.econbiz.de/10010478712

Testing conditional asset pricing in Pakistan : the role of value-at-risk and illiquidity factors

Azher, Sara; Iqbal, Javed - In: Journal of emerging market finance 17 (2018), pp. 259-281

Persistent link: https://www.econbiz.de/10011925540

Pricing of foreign exchange risk and market segmentation : evidence from Pakistan's equity market

Azher, Sara; Iqbal, Javed - In: Journal of Asian economics 43 (2016), pp. 37-48

Persistent link: https://www.econbiz.de/10011630943

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

Unconditional pricing models fail to support a positive riskâ€“return trade-off. When excess market return is negative an inverse relationship between the capital asset pricing model (CAPM) beta and equal-weighted and value-weighted portfolio return is observed. To accommodate market...

Persistent link: https://www.econbiz.de/10011137915