133
Views
7
CrossRef citations to date
0
Altmetric
Original Articles

A variance equality test of the ICAPM on Philippine stocks: post-Asian financial crisis period

Pages 353-362 | Published online: 19 Aug 2006

References

  • Aquino , RQ . 2002–2003 . Problems with testing the CAPM in the Philippine setting . Philippine Management Review , 10 : 1 – 20 .
  • Aquino , RQ . 2005 . Exchange rate risk and Philippine stock returns: before and after the Asian financial crisis . Applied Financial Economics , 15 : 765 – 71 .
  • Basak , G , Jagannathan , R and Sun , G . 2002 . A direct test for the mean-variance efficiency of a portfolio . Journal of Economic Dynamics and Control , 26 : 1195 – 215 .
  • Brennan , M , Wang , AW and Xia , Y . 2004 . Estimation and test of a simple model of intertemporal asset pricing . Journal of Finance , 59 : 1743 – 75 .
  • Chen , J , Naylor , M and Lu , X . 2004 . Some insights into the foreign exchange puzzle: evidence from a small open economy . Pacific-Basin Finance Journal , 12 : 41 – 64 .
  • De Ocampo , P Jr . 2004 . Alternative methodologies for testing CAPM in the Philippine equities market . 2004 , Amsterdam, The Netherlands. 3rd Global Conference on Business and Economics ,
  • Di Iorio , A and Faff , R . 1999 . An international market model and exchange rate risk: Australian evidence . Applied Economic Letters , 6 : 77 – 90 .
  • Faff , R and Chan , H . 1998 . A multifactor model of gold industry stock returns: evidence from the Australian equity market . Applied Financial Economics , 8 : 21 – 8 .
  • Fama , EF . 1996 . Multifactor portfolio efficiency and multifactor asset pricing . Journal of Financial and Quantitative Analysis , 31 : 441 – 65 .
  • Fang , W . 2002 . The effects of currency depreciation on stock returns: evidence from five East Asian economies . Applied Economics Letters , 9 : 195 – 9 .
  • Gibbons , M , Ross , SA and Shanken , J . 1989 . A test of the efficiency of a given portfolio . Econometrica , 57 : 1121 – 52 .
  • Grinblatt , M and Titman , S . 1987 . The relation between mean-variance efficiency and arbitrage pricing . Journal of Business , 60 : 97 – 112 .
  • Huberman , G and Kandel , S . 1987 . Mean-variance spanning . Journal of Finance , 42 : 873 – 88 .
  • Huberman , G , Kandel , S and Stambaugh , RF . 1987 . Mimicking portfolios and exact arbitrage pricing . Journal of Finance , 42 : 1 – 9 .
  • Jorion , P . 1991 . The pricing of exchange rate risk in the stock market . Journal of Financial and Quantitative Analysis , 26 : 363 – 76 .
  • Kandel , S and Stambaugh , RF . 1989 . A mean-variance framework of asset pricing models . Review of Financial Studies , 2 : 125 – 56 .
  • Kandel , S and Stambaugh , RF . 1994 . Correction: a mean-variance framework of asset pricing models . Review of Financial Studies , 7 : 803 – 4 .
  • Kavussanos , MG , Marcoulis , SN and Arkoulis , AG . 2002 . Macroeconomic factors and international industry returns . Applied Financial Economics , 12 : 923 – 31 .
  • Merton , RC . 1972 . An analytic derivation of the efficient portfolio frontier . Journal of Financial and Quantitative Analysis , 7 : 1851 – 72 .
  • Merton , RC . 1973 . An intertemporal capital asset pricing model . Econometrica , 4 : 867 – 87 .
  • Merton , RC . 1980 . On estimating the expected return on equity: an exploratory analysis . Journal of Financial Economics , 8 : 323 – 61 .
  • Newey , WK and West , KD . 1987 . A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix . Econometrica , 55 : 703 – 8 .
  • Priestly , R and Ødegaard , BA . 2004 . Exchange rate regimes and the price of exchange rate risk . Economics Letters , 82 : 181 – 8 .
  • Roll , R . 1977 . A critique of asset pricing theory's tests: part I . Journal of Financial Economics , 4 : 129 – 76 .
  • Ross , SA . 1976 . The arbitrage theory of capital asset pricing . Journal of Economic Theory , 13 : 341 – 60 .
  • Sweeney , R and Warga , A . 1986 . The pricing of interest rate risk: evidence from the stock market . The Journal of Finance , 41 : 393 – 410 .
  • Yu , JC . 2002 . A test of the CAPM on Philippine common stocks . The Philippine Review of Economics , 24 : 121 – 41 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.