Test of Multi-moment Capital Asset Pricing Model: Evidence from Karachi Stock Exchange
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Cited by:
- Ayub, Usman & Shah, Syed Zulfiqar Ali & Abbas, Qaisar, 2015. "Robust analysis for downside risk in portfolio management for a volatile stock market," Economic Modelling, Elsevier, vol. 44(C), pages 86-96.
- Jawad Mohammad & Attiya Yasmin Javid, 2015. "An Analysis of Accrual Anomaly in Case of Karachi Stock Exchange," PIDE-Working Papers 2015:116, Pakistan Institute of Development Economics.
- Hafiz Muhammad Zia ul haq & Muhammad Sohail Shafiq & Muhammad Kashif & Saba Ameer, 2020. "Determining Force behind Value Premium: The Case of Financial Leverage and Operating Leverage," JRFM, MDPI, vol. 13(9), pages 1-15, September.
- Yasmeen & Masood, Sarwar & Saghir, Ghauri & Muhammad, Waqas, 2012. "The Capital Asset Pricing Model: Empirical Evidence from Pakistan," MPRA Paper 41961, University Library of Munich, Germany.
- Muhammad, Irfan, 2012. "Non-standardized form of CAPM and stock returns," MPRA Paper 35604, University Library of Munich, Germany.
- Jacek Lipiec, 2014. "Capital Asset Pricing Model Testing at Warsaw Stock Exchange: Are Family Businesses the Remedy for Economic Recessions?," IJFS, MDPI, vol. 2(3), pages 1-14, July.
- Nida SHAH* & Javaid DARS* & Ambreen ZEB**, 2015. "Market Varying Conditional Risk-Return Relationship," Pakistan Journal of Applied Economics, Applied Economics Research Centre, vol. 25(1), pages 25-43.
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More about this item
Keywords
Covariance; Co-skewness; Co-kurtosis; Non-normal Return Distribution; Capital Asset Pricing Model; Time-varying Moments.;All these keywords.
JEL classification:
- C29 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Other
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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