Testing asset pricing models on the Pakistan Stock Exchange
Kiran Lohano () and
Additional contact information
Muhammad Kashif: Shaheed Zulfiqar Ali Bhutto Institute of Science and Technology (SZABIST)
Business Review, 2018, vol. 13, issue 2, 1-19
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.
Keywords: CAPM; Â·; Three-factor; model; Â·; Five-factor; model; Â·; Portfolio; Â·; Pakistan; Stock; Exchange. (search for similar items in EconPapers)
References: View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:aho:journl:v:13:y:2018:i:2:p:1-19
Access Statistics for this article
Business Review is currently edited by Dr. Wali Ullah
More articles in Business Review from IBA
Bibliographic data for series maintained by IBA ().