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

  • Iqbal, Javed
  • Brooks, Robert

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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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  1. 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.
  2. Viral V. Acharya & Lasse Heje Pedersen, 2004. "Asset Pricing with Liquidity Risk," NBER Working Papers 10814, National Bureau of Economic Research, Inc.
  3. Dey, Malay K., 2005. "Turnover and return in global stock markets," Emerging Markets Review, Elsevier, vol. 6(1), pages 45-67, April.
  4. 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.
  5. 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.
  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. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
  13. 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.
  14. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 31(3), pages 129-137.
  15. 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.
  16. 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.
  17. C. John McDermott & Paul Cashin, 1995. "Informational Efficiency in Developing Equity Markets," IMF Working Papers 95/58, International Monetary Fund.
  18. 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.
  19. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  20. 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.
  21. 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.
  22. 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.
  23. 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.
  24. Menezes, C & Geiss, C & Tressler, J, 1980. "Increasing Downside Risk," American Economic Review, American Economic Association, vol. 70(5), pages 921-32, December.
  25. Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June.
  26. 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.
  27. Bartholdy, Jan & Peare, Paula, 2002. "Unbiased Estimation of Expected Return Using CAPM," Finance Working Papers 02-11, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  28. 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.
  29. Miller, Edward M, 1977. "Risk, Uncertainty, and Divergence of Opinion," Journal of Finance, American Finance Association, vol. 32(4), pages 1151-68, September.
  30. 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.
  31. 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.
  32. 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.
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