Validity of capital asset pricing model in Pakistan: Evidence from Karachi Stock Exchange

被引：4
|
作者：
Raza, Syed Ali [1 ]
Jawaid, Syed Tehseen [1 ]
Arif, Imtiaz [1 ]
Qazi, Fahim [2 ]
机构：
[1] IQRA Univ, Karachi 75300, Pakistan
[2] Dadabhoy Inst Higher Educ, Karachi, Pakistan
来源：
AFRICAN JOURNAL OF BUSINESS MANAGEMENT | 2011年 / 5卷 / 32期
关键词：
Portfolio choice; investment decisions; capital assets pricing model; risk; RISK;
D O I：
10.5897/AJBM11.2105
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This study investigates the validity of capital asset pricing (CAP) model in Karachi Stock Exchange (KSE). The data used in this study were collected from 387 companies of 30 different sectors on monthly, quarterly and semi-annual basis. The Paired sample t-test is applied to find the difference between actual and expected returns. Results show that capital asset pricing model (CAPM) predict more accurately the expected return on a short term investment as compare to long term investment. It is recommended that the investors should more focus on CAPM results for short term as compare to long term investments in KSE.
引用
收藏
页码：12598 / 12605
页数：8
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