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

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  • Iqbal, Javed
  • Brooks, Robert

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Multinational Financial Management.

Volume (Year): 17 (2007)
Issue (Month): 1 (February)
Pages: 75-93

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Handle: RePEc:eee:mulfin:v:17:y:2007:i:1:p:75-93

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Web page: http://www.elsevier.com/locate/mulfin

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References

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  1. Bartholdy, Jan & Peare, Paula, 2003. "Unbiased estimation of expected return using CAPM," International Review of Financial Analysis, Elsevier, vol. 12(1), pages 69-81.
  2. Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc.
  3. Turan G. Bali & Nusret Cakici & Xuemin (Sterling) Yan & Zhe Zhang, 2005. "Does Idiosyncratic Risk Really Matter?," Journal of Finance, American Finance Association, vol. 60(2), pages 905-929, 04.
  4. Viral V. Acharya & Lasse Heje Pedersen, 2004. "Asset Pricing with Liquidity Risk," NBER Working Papers 10814, National Bureau of Economic Research, Inc.
  5. Heckman, James J, 1979. "Sample Selection Bias as a Specification Error," Econometrica, Econometric Society, vol. 47(1), pages 153-61, January.
  6. Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2005. "Liquidity and Expected Returns: Lessons From Emerging Markets," NBER Working Papers 11413, National Bureau of Economic Research, Inc.
  7. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
  8. Claessens, Stijn & Dasgupta, Susmita & Glen, Jack, 1995. "The cross-section of stock returns : evidence from emerging markets," Policy Research Working Paper Series 1505, The World Bank.
  9. Cooley, Philip L & Roenfeldt, Rodney L & Modani, Naval K, 1977. "Interdependence of Market Risk Measures," The Journal of Business, University of Chicago Press, vol. 50(3), pages 356-63, July.
  10. Levy, Haim, 1978. "Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio," American Economic Review, American Economic Association, vol. 68(4), pages 643-58, September.
  11. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
  12. Jamshed Y. Uppal, 1993. "The Internationalisation of the Pakistani Stock Market: An Empirical Investigation," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 32(4), pages 605-618.
  13. Dey, Malay K., 2005. "Turnover and return in global stock markets," Emerging Markets Review, Elsevier, vol. 6(1), pages 45-67, April.
  14. Bark, Hee-Kyung K., 1991. "Risk, return, and equilibrium in the emerging markets: Evidence from the Korean stock market," Journal of Economics and Business, Elsevier, vol. 43(4), pages 353-362, November.
  15. Marsh, Paul, 1979. "Equity Rights Issues and the Efficiency of the UK Stock Market," Journal of Finance, American Finance Association, vol. 34(4), pages 839-62, September.
  16. Diana Maldonado & Tim Fry & Robert Brooks & Robert Faff, 2004. "Alternative Beta Risk Estimators in Emerging Markets: The Latin American Case," Econometric Society 2004 Australasian Meetings 62, Econometric Society.
  17. Khwaja, Asim Ijaz & Mian, Atif, 2005. "Unchecked intermediaries: Price manipulation in an emerging stock market," Journal of Financial Economics, Elsevier, vol. 78(1), pages 203-241, October.
  18. C. John McDermott & Paul Cashin, 1995. "Informational Efficiency in Developing Equity Markets," IMF Working Papers 95/58, International Monetary Fund.
  19. Menezes, C & Geiss, C & Tressler, J, 1980. "Increasing Downside Risk," American Economic Review, American Economic Association, vol. 70(5), pages 921-32, December.
  20. Handa, Puneet & Kothari, S. P. & Wasley, Charles, 1989. "The relation between the return interval and betas : Implications for the size effect," Journal of Financial Economics, Elsevier, vol. 23(1), pages 79-100, June.
  21. Estrada, Javier & Serra, Ana Paula, 2005. "Risk and return in emerging markets: Family matters," Journal of Multinational Financial Management, Elsevier, vol. 15(3), pages 257-272, July.
  22. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  23. Miller, Edward M, 1977. "Risk, Uncertainty, and Divergence of Opinion," Journal of Finance, American Finance Association, vol. 32(4), pages 1151-68, September.
  24. Robert Brooks & Robert Faff & Tim Fry & Emma Newton, 2004. "Censoring and its impact on multivariate testing of the Capital Asset Pricing Model," Applied Financial Economics, Taylor & Francis Journals, vol. 14(6), pages 413-420.
  25. Sadka, Ronnie, 2006. "Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk," Journal of Financial Economics, Elsevier, vol. 80(2), pages 309-349, May.
  26. Denis, David J & Kadlec, Gregory B, 1994. " Corporate Events, Trading Activity, and the Estimation of Systematic Risk: Evidence from Equity Offerings and Share Repurchases," Journal of Finance, American Finance Association, vol. 49(5), pages 1787-1811, December.
  27. Gilmer, R. Jr., 1988. "Risk and return: A question of the holding period," Journal of Economics and Business, Elsevier, vol. 40(2), pages 129-137, May.
  28. Berglund, Tom & Liljeblom, Eva & Loflund, Anders, 1989. "Estimating betas on daily data for a small stock market," Journal of Banking & Finance, Elsevier, vol. 13(1), pages 41-64, March.
  29. Robert Brooks & Robert Faff & Tim Fry & E. Bissoondoyal-Bheenick, 2005. "Alternative beta risk estimators in cases of extreme thin trading: Canadian evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 15(18), pages 1251-1258.
  30. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-36, May-June.
  31. Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June.
  32. Yen-Sheng Huang, 1997. "An empirical test of the risk-return relationship on the Taiwan Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 7(3), pages 229-239.
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Citations

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Cited by:
  1. Attiya Y. Javid & Eatzaz Ahmad, 2008. "The Conditional Capital Asset Pricing Model: Evidence from Karachi Stock Exchange," PIDE-Working Papers 2008:48, Pakistan Institute of Development Economics.
  2. Iqbal, Javed & Brooks, Robert & Galagedera, Don UA, 2007. "Robust Tests of the Lower Partial Moment Asset Pricing Model in Emerging Markets," MPRA Paper 25349, University Library of Munich, Germany, revised May 2007.
  3. Hearn, Bruce, 2010. "Time varying size and liquidity effects in South Asian equity markets: A study of blue-chip industry stocks," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 242-257, September.
  4. Iqbal, Javed & Brooks, Robert & Galagedera, Don UA, 2007. "Testing Asset Pricing Models in Emerging Markets: An Examination of Higher Order Co-Moments and Alternative Factor Models," MPRA Paper 25020, University Library of Munich, Germany, revised Oct 2007.
  5. Javid, Attiya Yasmin, 2008. "Time Varying Risk Return Relationship: Evidence from Listed Pakistani Firms," MPRA Paper 37561, University Library of Munich, Germany.

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