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An analytical framework for explaining relative performance of CAPM beta and downside beta
Galagedera, Don U. A. - In: International journal of theoretical and applied finance 12 (2009) 3, pp. 341-358
Persistent link: https://www.econbiz.de/10003867409
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An alternative perspective on the relationship between downside beta and CAPM beta
Galagedera, Don U. A. - In: Emerging markets review 8 (2007) 1, pp. 4-19
Persistent link: https://www.econbiz.de/10003433042
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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
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Testing conditional asset pricing models : an emerging market perspective
Iqbal, Javed (contributor); Brooks, Robert (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003778329
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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
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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
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Modeling time-varying downside risk
Galagedera, Don U. A.; Jaapar, Asmah M. - In: The Icfai University journal of financial economics 7 (2009) 1, pp. 36-51
Persistent link: https://www.econbiz.de/10003857502
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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
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Modelling the risk and return relation conditional on market volatility and market conditions
Galagedera, Don U. A.; Faff, Robert W. - 2004
Persistent link: https://www.econbiz.de/10002121816
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Modeling the risk and return relation conditional on markt volatility and market conditions
Galagedera, Don U. A.; Faff, Robert W. - In: International journal of theoretical and applied finance 8 (2005) 1, pp. 75-95
Persistent link: https://www.econbiz.de/10002625219