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Alternative beta risk estimators in emerging markets : the Latin American case

Brooks, Robert; Faff, Robert W.; Fry, Tim R. L.; … - In: Latin American financial markets : developments in …, (pp. 329-344). 2004

Persistent link: https://www.econbiz.de/10002608146

ALTERNATIVE BETA RISK ESTIMATORS IN EMERGING MARKETS: THE LATIN AMERICAN CASE

Brooks, Robert D.; Faff, Robert W.; Fry, Tim; … - In: Latin American financial markets : developments in …, (pp. 329-344). 2005

In this paper we investigate the empirical performance of an alternative beta risk estimator, which is designed to be superior to its conventional counterparts in situations of extreme thin trading. The estimator used is based on the sample selectivity model. The study compares the resultant...

Persistent link: https://www.econbiz.de/10015386044

Power arch modelling of the volatility of emerging equity markets

Brooks, Robert - In: Emerging markets review 8 (2007) 2, pp. 124-133

Persistent link: https://www.econbiz.de/10003453664

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

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