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Do sovereign re-ratings destabilize equity markets during financial crises? : new evidence from higher return moments

Brooks, Robert; Faff, Robert W.; Sirimon Treepongkaruna; … - In: Journal of business finance & accounting : JBFA 42 (2015) 5/6, pp. 777-799

Persistent link: https://www.econbiz.de/10011442342

Do Sovereign Re-Ratings Destabilize Equity Markets During Financial Crises? : New Evidence From Higher Return Moments

Brooks, Robert - 2015

We investigate the effects of S&P's sovereign re-ratings on the higher moments of equity market returns over recent financial crises. Using a set of intraday stock market index prices and sovereign credit ratings for a sample of 36 countries which experienced sovereign rating changes over the...

Persistent link: https://www.econbiz.de/10013036190

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

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