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

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

Time stationarity of systematic risk : some Australian evidence

Faff, Robert W.; Lee, John H. H.; Fry, Tim R. L. - 1990

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Are the China-related stock markets segmented with both world and reginal stock markets?

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Does idiosyncratic volatility predict future growth of the Australian economy?

Liu, Bin; Di Iorio, Amalia - In: Studies in economics and finance 33 (2016) 1, pp. 69-90

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Equity fund performance : can momentum be explained by the pricing of idiosyncratic volatility?

Liu, Bin; Di Iorio, Amalia; De Silva, Ashton - In: Studies in economics and finance 33 (2016) 3, pp. 359-376

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The pricing of idiosyncratic volatility : an Australian study

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The empirical reletionship between aggregate consumption and security prices in Australia

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Creating Fama and French factors with style

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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