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Asset Pricing in a Developing Economy: Evidence from Pakistan

Author

Listed:
  • Nawazish Mirza

    (SP Jain School of Global Management)

  • Krishna Reddy

    (Australian Institute of Business)

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.

Suggested Citation

  • Nawazish Mirza & Krishna Reddy, 2017. "Asset Pricing in a Developing Economy: Evidence from Pakistan," Economics Bulletin, AccessEcon, vol. 37(4), pages 2483-2495.
    • Handle: RePEc:ebl:ecbull:eb-17-00809
    as

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    References listed on IDEAS

    as
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    2. Umar, Muhammad & Mirza, Nawazish & Rizvi, Syed Kumail Abbas & Furqan, Mehreen, 2023. "Asymmetric volatility structure of equity returns: Evidence from an emerging market," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 330-336.

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    More about this item

    Keywords

    G10; G12; G15;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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