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Beta Risk and Regime Shift in Market Volatility

Galagedera, Don U.A.; Shami, Roland G. - Econometric Society - 2004

In this paper, we relate security returns in the thirty securities in the Dow Jones index to regime shifts in the market portfolio (S&P500) volatility. We model market volatility as a multiple-state Markov switching process of order one and estimate non-diversifiable security risk (beta) in the...

Persistent link: https://www.econbiz.de/10005130158

The impact of capital controls on Malaysian banking industry betas

Brooks, Robert; Shoung, Lye Chee - In: Applied financial economics letters 2 (2006) 4, pp. 247-249

Persistent link: https://www.econbiz.de/10003351946

Do realized betas exhibit up/down market tendencies?

Woodward, G. Thomas; Brooks, Robert - In: International review of economics & finance : IREF 18 (2009) 3, pp. 511-519

Persistent link: https://www.econbiz.de/10003881651

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

Is co-skewness a better measure of risk in the downside than downside beta? : evidence in emerging market data

Galagedera, Don U. A.; Brooks, Robert - In: Journal of multinational financial management 17 (2007) 3, pp. 214-230

Persistent link: https://www.econbiz.de/10003499625

Does volume help in pedicting stock returns? : analysis of the Australian market

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert - In: Research in international business and finance 24 (2010) 2, pp. 146-157

Persistent link: https://www.econbiz.de/10003965059

Conditional relation between systematic risk and returns in the conventional and downside frameworks : evidence from the Indonesian market

Nurjannah; Galagedera, Don U. A.; Brooks, Robert - In: Journal of emerging market finance 11 (2012) 3, pp. 271-300

Persistent link: https://www.econbiz.de/10010380791

Modelling the equity beta risk of Australian financial sector companies

Lie, Frida; Brooks, Robert; Faff, Robert W. - In: Australian economic papers 39 (2000) 3, pp. 301-311

Persistent link: https://www.econbiz.de/10002202854

Alternative beta risk estimators in cases of extreme thin trading : Canadian evidence

Brooks, Robert; Faff, Robert W.; Fry, Tim R. L.; … - In: Applied financial economics 15 (2005) 18, pp. 1251-1258

Persistent link: https://www.econbiz.de/10003229088

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