CAPM estimates: Can data frequency and time period lend a hand?

Syed Jawad Hussain Shahzad, Saniya Khalid and Saba Ameer ()
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Saniya Khalid: COMSATS Institute of Information Technology, Islamabad, Pakistan3Shaheed Zulfikar Ali Bhutto Institute of Science and Technology, Islamabad, Pakistan
Saba Ameer: COMSATS Institute of Information Technology, Islamabad, Pakistan

International Journal of Financial Engineering (IJFE), 2016, vol. 03, issue 02, 1-12

Abstract: This study is based on positivism research philosophy and utilizes deductive approach. The study uses a dataset of 117 firms listed on KSE-100 Index from 2005 to 2012 to analyze the predictability of capital asset pricing model (CAPM) under different data frequencies and time frames. Six months daily data, in contradiction to the recommended five years monthly data, provides the best estimates. However, the performance of model can be regarded poor as it only explains 7.39% difference in returns.

Keywords: CAPM; beta; Markowitz mean–variance framework (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1142/S2424786316500183

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