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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

Are jumps in stock returns diversifiable? : Evidence and implications for option pricing

Kim, Myung-jig - In: Journal of financial and quantitative analysis : JFQA 29 (1994) 4, pp. 609-631

Persistent link: https://www.econbiz.de/10001175113

A test of a new dynamic CAPM

Faff, Robert W.; Brooks, Robert; Fan, Tan Pooi - In: Advances in investment analysis and portfolio … 8 (2001), pp. 133-159

Persistent link: https://www.econbiz.de/10001640879

Censoring and its impact on multivariate testing of the capital asset pricing model

Brooks, Robert; Faff, Robert W.; Fry, Tim R. L.; … - In: Applied financial economics 14 (2004) 6, pp. 413-420

Persistent link: https://www.econbiz.de/10001971176

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