Validity of capital asset pricing model: evidence from Karachi stock exchange

Syed Raza, Syed Tehseen Jawaid, Imtiaz Arif and Qazi Fahim

MPRA Paper from University Library of Munich, Germany

Abstract: This study investigates the validity of Capital Asset Pricing (CAP) Model in Karachi stock exchange (KSE). The data of 387 companies of 30 different sectors on monthly, quarterly and semiannual basis are used. The Paired sample t- test is applied to find the difference between actual and expected returns. Results show that capital asset pricing model (CAPM) predict more accurately the expected return on a short term investment as compare to long term investment. It is recommended that the investors should more focus on CAPM results for short term as compare to long term investments in KSE.

Keywords: Portfolio choice; Investment Decisions; Capital Assets Pricing Model; Risk (search for similar items in EconPapers)
JEL-codes: G11 G12 G32 (search for similar items in EconPapers)
Date: 2011-06-10
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (8)

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