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Explaining stock returns in Pakistan: the CAPM, FAMA-French model and the Carhart model

Thesis Info

Author

Yahya, Azam

Program

MS

Institute

Institute of Business Administration

Institute Type

Private

City

Karachi

Province

Sindh

Country

Pakistan

Thesis Completing Year

2014

Page

49

Subject

Economics

Language

English

Other

CallNo: 332.6322

Added

2021-02-17 19:49:13

Modified

2024-03-24 20:25:49

ARI ID

1676720933061

Similar


The present study contributes to the literature by analysing the performance of the Carhart's Four-factor model on the Pakistan premier stock market, Karachi Stock Exchange (KSE). In this study, the Capital Asset Pricing Model (CAPM), Fama & French three factor model and Carhart's Four-factor model are comparatively analysed to determine their ability to explain the differences between the returns on portfolios sorted on size and book-to-market. The results show that in the period between January 2002 to December 2008 and from January 2009 to April 2014, the size and the book-to-market ratio of equities and the momentum of the companies significantly explain the returns of portfolio that are sorted on size and book-to-market. Furthermore, the coefficients of determination of time-series regression are not very high which indicates that the Pakistan's premier stock market responds less to fundamental variables
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