Test of Higher Moment Capital Asset Pricing Model in Case of Pakistani Equity Market

  • Attiya Y. Javid
  • Published 2009

Abstract

In this study we test the mean-variance capital asset pricing model (CAPM) developed by Sharpe (1965) Lintner (1966) on individual stocks traded at Karachi Stock Exchange (KSE), the main equity market in Pakistan for the period 1993-2004 using daily and monthly data. The empirical findings do not support standard CAPM as a model to explain assets pricing in… (More)

Topics

4 Figures and Tables

Slides referencing similar topics