Testing asset pricing models on the Pakistan Stock Exchange
This study investigates the performance of CAPM, three-factor and five-factor asset pricing models on the Pakistan Stock Exchange using monthly data of 896 companies from November 2000 to December 2016. The results from the time-series approach show that the three-factor model performs relatively b...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Institute of Business Administration
2018-12-01
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| Series: | Business Review |
| Subjects: | |
| Online Access: | https://ir.iba.edu.pk/businessreview/vol13/iss2/1/ |
| _version_ | 1797375410708676608 |
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| author | Kiran Lohano Muhammad Kashif |
| author_facet | Kiran Lohano Muhammad Kashif |
| author_sort | Kiran Lohano |
| collection | DOAJ |
| description | This study investigates the performance of CAPM, three-factor and
five-factor asset pricing models on the Pakistan Stock Exchange using monthly data of 896 companies from November 2000 to December 2016. The results from the time-series approach show that the three-factor model performs relatively better than the CAPM and the five-factor model, whereas the cross-sectional
approach establishes the superiority of the five-factor model. It can thus be concluded that it is important to incorporate factors, such as size, value, profitability and investment when predicting returns on securities in the Pakistan Stock Exchange. |
| first_indexed | 2024-03-08T19:23:53Z |
| format | Article |
| id | doaj.art-d690ce60ef4a45aa9cec6edf63e9cd73 |
| institution | Directory Open Access Journal |
| issn | 1990-6587 2788-9599 |
| language | English |
| last_indexed | 2024-03-08T19:23:53Z |
| publishDate | 2018-12-01 |
| publisher | Institute of Business Administration |
| record_format | Article |
| series | Business Review |
| spelling | doaj.art-d690ce60ef4a45aa9cec6edf63e9cd732023-12-26T11:10:41ZengInstitute of Business AdministrationBusiness Review1990-65872788-95992018-12-01132119https://doi.org/10.54784/1990-6587.1027Testing asset pricing models on the Pakistan Stock ExchangeKiran Lohano 0Muhammad Kashif 1Shaheed Zulfiqar Ali Bhutto Institute of Science and Technology Shaheed Zulfiqar Ali Bhutto University of Science and Technology (SZABIST), Karachi, Pakistan This study investigates the performance of CAPM, three-factor and five-factor asset pricing models on the Pakistan Stock Exchange using monthly data of 896 companies from November 2000 to December 2016. The results from the time-series approach show that the three-factor model performs relatively better than the CAPM and the five-factor model, whereas the cross-sectional approach establishes the superiority of the five-factor model. It can thus be concluded that it is important to incorporate factors, such as size, value, profitability and investment when predicting returns on securities in the Pakistan Stock Exchange.https://ir.iba.edu.pk/businessreview/vol13/iss2/1/capmthree-factor modelfive-factor modelportfoliopakistan stock exchange |
| spellingShingle | Kiran Lohano Muhammad Kashif Testing asset pricing models on the Pakistan Stock Exchange Business Review capm three-factor model five-factor model portfolio pakistan stock exchange |
| title | Testing asset pricing models on the Pakistan Stock Exchange |
| title_full | Testing asset pricing models on the Pakistan Stock Exchange |
| title_fullStr | Testing asset pricing models on the Pakistan Stock Exchange |
| title_full_unstemmed | Testing asset pricing models on the Pakistan Stock Exchange |
| title_short | Testing asset pricing models on the Pakistan Stock Exchange |
| title_sort | testing asset pricing models on the pakistan stock exchange |
| topic | capm three-factor model five-factor model portfolio pakistan stock exchange |
| url | https://ir.iba.edu.pk/businessreview/vol13/iss2/1/ |
| work_keys_str_mv | AT kiranlohano testingassetpricingmodelsonthepakistanstockexchange AT muhammadkashif testingassetpricingmodelsonthepakistanstockexchange |