Test of Multi-moment Capital Asset Pricing Model: Evidence from Karachi Stock Exchange
Published By: Pakistan Institute of Development Economics (PIDE) | Published Date: January, 01 , 2008This study examines the Capital Asset Pricing Model of Sharpe (1964) Lintner (1965) and Black (1972) as the benchmark model in the asset pricing theory. The empirical findings indicate that the Sharpe-Lintner-Black CAPM inadequately, particularly the explains Pakistan’s equity market economically and statistically significant role of market risk for the determination of expected returns. Instead of identifying more risk factors, a detailed analysis of a single risk factor is undertaken.
Author(s): Attiya Y. Javid, Eatzaz Ahmad | Posted on: Feb 14, 2016 | Views() | Download (168)