Equity Price Risk and Return: Evidence from the Karachi Stock Exchange
This paper examines the tradeoff between equity price risk and returns obtained through various approaches. Capital asset pricing model (CAPM) and arbitrage pricing model (APT) are considered to be the fundamental building blocks of the portfolio theory, while these models only provide some intuitio...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Shaheed Zulfikar Ali Bhutto Institute of Science and Technology
2009-06-01
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| Series: | JISR Management and Social Sciences & Economics |
| Subjects: | |
| Online Access: | https://jisrmsse.szabist.edu.pk/index.php/szabist/article/view/328 |
| _version_ | 1797851585459519488 |
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| author | Talha Bin Ali Khan Ali Khizar Aslam |
| author_facet | Talha Bin Ali Khan Ali Khizar Aslam |
| author_sort | Talha Bin Ali Khan |
| collection | DOAJ |
| description | This paper examines the tradeoff between equity price risk and returns obtained through various approaches. Capital asset pricing model (CAPM) and arbitrage pricing model (APT) are considered to be the fundamental building blocks of the portfolio theory, while these models only provide some intuition to risk but they do not account for the probability of adverse moves in the risk factors. Empirically, we have evidence that beta values tend to be insignificant in terms of a multifactor of BIRR model using APT approach. VAR values seem to have fitted in the BIRR model very well and have improved the stability in terms of explaining the returns acquired through APT approach. Therefore, we have also affixed the returns obtained through arbitrage pricing model with the value at risk (VAR) values such as to measure the downside risk. The theory that is proposed is distinctive and its empirical application has been presented in the paper.
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| first_indexed | 2024-04-09T19:19:04Z |
| format | Article |
| id | doaj.art-725d9e48129241698418abe0089c0685 |
| institution | Directory Open Access Journal |
| issn | 2616-7476 1998-4162 |
| language | English |
| last_indexed | 2024-04-09T19:19:04Z |
| publishDate | 2009-06-01 |
| publisher | Shaheed Zulfikar Ali Bhutto Institute of Science and Technology |
| record_format | Article |
| series | JISR Management and Social Sciences & Economics |
| spelling | doaj.art-725d9e48129241698418abe0089c06852023-04-05T15:22:29ZengShaheed Zulfikar Ali Bhutto Institute of Science and TechnologyJISR Management and Social Sciences & Economics2616-74761998-41622009-06-0171Equity Price Risk and Return: Evidence from the Karachi Stock ExchangeTalha Bin Ali Khan0Ali Khizar Aslam1MS student at Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST), Karachi adjunct faculty at Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST), KarachiThis paper examines the tradeoff between equity price risk and returns obtained through various approaches. Capital asset pricing model (CAPM) and arbitrage pricing model (APT) are considered to be the fundamental building blocks of the portfolio theory, while these models only provide some intuition to risk but they do not account for the probability of adverse moves in the risk factors. Empirically, we have evidence that beta values tend to be insignificant in terms of a multifactor of BIRR model using APT approach. VAR values seem to have fitted in the BIRR model very well and have improved the stability in terms of explaining the returns acquired through APT approach. Therefore, we have also affixed the returns obtained through arbitrage pricing model with the value at risk (VAR) values such as to measure the downside risk. The theory that is proposed is distinctive and its empirical application has been presented in the paper. https://jisrmsse.szabist.edu.pk/index.php/szabist/article/view/328Beta (risk)market risk premiumrisk factorsarbitrage pricing modelvalue at risk model |
| spellingShingle | Talha Bin Ali Khan Ali Khizar Aslam Equity Price Risk and Return: Evidence from the Karachi Stock Exchange JISR Management and Social Sciences & Economics Beta (risk) market risk premium risk factors arbitrage pricing model value at risk model |
| title | Equity Price Risk and Return: Evidence from the Karachi Stock Exchange |
| title_full | Equity Price Risk and Return: Evidence from the Karachi Stock Exchange |
| title_fullStr | Equity Price Risk and Return: Evidence from the Karachi Stock Exchange |
| title_full_unstemmed | Equity Price Risk and Return: Evidence from the Karachi Stock Exchange |
| title_short | Equity Price Risk and Return: Evidence from the Karachi Stock Exchange |
| title_sort | equity price risk and return evidence from the karachi stock exchange |
| topic | Beta (risk) market risk premium risk factors arbitrage pricing model value at risk model |
| url | https://jisrmsse.szabist.edu.pk/index.php/szabist/article/view/328 |
| work_keys_str_mv | AT talhabinalikhan equitypriceriskandreturnevidencefromthekarachistockexchange AT alikhizaraslam equitypriceriskandreturnevidencefromthekarachistockexchange |