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Testing asset pricing models on the Pakistan Stock Exchange

Author

Listed:
  • Kiran Lohano
  • Muhammad Kashif

    (Shaheed Zulfiqar Ali Bhutto Institute of Science and Technology (SZABIST))

Abstract

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.

Suggested Citation

  • Kiran Lohano & Muhammad Kashif, 2018. "Testing asset pricing models on the Pakistan Stock Exchange," Business Review, School of Economics and Social Sciences, IBA Karachi, vol. 13(2), pages 1-19, July-Dece.
    • Handle: RePEc:aho:journl:v:13:y:2018:i:2:p:1-19
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    File URL: https://businessreview.iba.edu.pk/articles/Assetpricing.pdf
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    References listed on IDEAS

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