All Theses and Dissertations


Master of Science in Economics

Faculty / School

Faculty of Business Administration (FBA)


Department of Economics

Date of Award

Spring 2014


Dr. Athar Elahi

Second Advisor

Dr. Jawed Iqbal

Committee Member 1

Dr. Mohammad Athar Elahi, Institute of Business Administration, Karachi

Committee Member 2

Dr. Jawed Iqbal, Institute of Business Administration, Karachi

Project Type


Access Type

Restricted Access


ix, 49


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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