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A new measure for idiosyncratic risk based on decomposition method

Lee, Meng-Horng; Chee-Wooi Hooy; Brooks, Robert - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-8

This paper introduces an alternate measure of idiosyncratic risk leveraged from the decomposition method to further eliminate the residual systematic risk inherent in the factor asset pricing model. Combining both complementary techniques contributes to a more comprehensive firm-level...

Persistent link: https://www.econbiz.de/10014289732

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

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