Abstract
This study investigates the performance of CAPM, three-factor and five-factor asset pricing models on the Pakistan Stock Exchange using monthly data of 896 companies from November 2000 to December 2016. The results from the time-series approach show that the three-factor model performs relatively better than the CAPM and the five-factor model, whereas the cross-sectional approach establishes the superiority of the five-factor model. It can thus be concluded that it is important to incorporate factors, such as size, value, profitability and investment when predicting returns on securities in the Pakistan Stock Exchange.
Keywords
CAPM, Three-factor model, Five-factor model, Portfolio, Pakistan Stock Exchange
DOI
https://doi.org/10.54784/1990-6587.1027
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Recommended Citation
Lohano, K., & Kashif, M. (2019). Testing asset pricing models on the Pakistan Stock Exchange. Business Review, 13(2), 1-19. Retrieved from https://doi.org/10.54784/1990-6587.1027
