Asset Pricing in a Developing Economy: Evidence from Pakistan

Nawazish Mirza and Krishna Reddy ()
Additional contact information
Krishna Reddy: Australian Institute of Business

Economics Bulletin, 2017, vol. 37, issue 4, 2483-2495

Abstract: This study provides a comparative account of three asset pricing models for a developing economy. Like most developing markets Pakistan stock exchange (PSX) is also subject to market making activities by few large investors, non-synchronous trading, loose monitoring controls and small market size. We find no support for capital asset pricing model, however, size and value based risk factors were observed to be significant. The four factor momentum model proved to be superior suggesting pricing of momentum in stock returns. As asset pricing models are vital in financial decision making, this research has important implications for financial managers and investors.

Keywords: G10; G12; G15 (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2017-11-19
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2017/Volume37/EB-17-V37-I4-P221.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-17-00809

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().