In this paper we model country-specific equity market return and association between country-specific equity market volatility and that of the world market in the downside and conventional asset pricing frameworks. For this a Factor- ARCH type process is adopted where world market risk (beta) is...

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

This paper provides a review of the main features of asset pricing models. The review includes single-factor and multi-factor models, extended forms of the Capital Asset Pricing Model (CAPM) with higher-order co-moments and asset pricing models conditional on time varying volatility models

This paper investigates association between portfolio returns and higher-order systematic co-moments at different timescales obtained through wavelet multi-scaling - a technique that decomposes a given return series into different timescales enabling investigation at different return intervals....

This paper investigates efficiency using data envelopment analysis (DEA) and productivity growth using Malmquist index in a sample of Indian commercial banks over the period 1995-2002. Using total deposits and operating expenses as input and loans and other earning assets as output in the DEA...

This paper offers a review of investment performance appraisal methods. The review starts with an exhaustive coverage of various methods ranging from early measures of risk-adjusted return to more recent methods including the rating given by ASSIRT, a financial services organisation that assess...

This paper estimates time-varying systematic downside risk using a parametric specification (BEKK model) and a nonparametric procedure (rolling window technique). A sample of Malaysian industry portfolio daily returns reveals that the covariance between portfolio excess returns and excess...

Using a data generating process in the mean-variance framework a relationship between CAPM beta and downside beta is derived. The derived relationship reveals that when the target rate exceeds (is lower than) the risk-free rate downside beta is higher (lower) than CAPM beta for low CAPM beta...

This paper establishes the relationship between the CAPM beta and three measures of downside beta assuming the market model and a downside version of the market model as data generating processes. For both processes the conditions under which the CAPM beta may numerically exactly/approximately...

Purpose – The purpose of this paper is to study the consumer opinion towards the low-cost airlines or low-cost carriers (LCCs) (these two terms are used interchangeably) industry in Malaysia to better understand consumers’ needs and to provide better services. Sentiment analysis is...