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Multivariate tests of asset pricing : simulation evidence from an emerging market

Iqbal, Javed (contributor); Brooks, Robert (contributor); … - 2008

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/10003778328

Testing conditional asset pricing models : an emerging market perspective

Iqbal, Javed (contributor); Brooks, Robert (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003778329

Alternative beta risk estimators and asset pricing tests in emerging markets : the case of Pakistan

Iqbal, Javed; Brooks, Robert - In: Journal of multinational financial management 17 (2007) 1, pp. 75-93

Persistent link: https://www.econbiz.de/10003441921

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

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

Persistent link: https://www.econbiz.de/10003963264

A test of CAPM on the Karachi Stock Exchange

Iqbal, Javed; Brooks, Robert - In: International journal of business 12 (2007) 4, pp. 429-444

Persistent link: https://www.econbiz.de/10003625858

Alternative beta risk estimators and asset pricing tests in emerging markets: The case of Pakistan

Iqbal, Javed; Brooks, Robert - In: Journal of Multinational Financial Management 17 (2007) 1, pp. 75-93

Persistent link: https://www.econbiz.de/10005300128

Multivariate tests of asset pricing: Simulation evidence from an emerging market

Iqbal, Javed; Brooks, Robert; Galagedera, Don U.A. - Department of Econometrics and Business Statistics, … - 2008

The finite sample performance of the Wald, GMM and Likelihood Ratio (LR) tests of multivariate asset pricing tests have been investigated in several studies on the US financial markets. This paper extends this analysis in two important ways. Firstly, considering the fact that the Wald test is...

Persistent link: https://www.econbiz.de/10005087609

Alternative beta risk estimators and asset pricing tests in emerging markets: The case of Pakistan

Iqbal, Javed; Brooks, Robert - In: Journal of multinational financial management 17 (2007) 1, pp. 75

Persistent link: https://www.econbiz.de/10007390903

Multivariate tests of asset pricing: simulation evidence from an emerging market

Iqbal, Javed; Brooks, Robert; Galagedera, Don - In: Applied financial economics 20 (2010) 5, pp. 381-396

Persistent link: https://www.econbiz.de/10008380747