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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

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

Stock Market impact of sovereign rating changes : alternative benchmark models

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert - In: Emerging markets and sovereign risk, (pp. 231-252). 2015

Persistent link: https://www.econbiz.de/10010458440

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

Censoring and its impact on multivariate testing of the capital asset pricing model

Brooks, Robert; Faff, Robert W.; Fry, Tim R. L.; … - In: Applied financial economics 14 (2004) 6, pp. 413-420

Persistent link: https://www.econbiz.de/10001971176

A test of a two-factor APT based on the quadratic market model : international evidence

Brooks, R. D.; Faff, R. W. - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 22 (1998) 2, pp. 65-76

Persistent link: https://www.econbiz.de/10001379785