Master of Science in Economics
Department of Economics
Date of Award
Dr. Athar Elahi
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
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.
Yahya, A. (2014). Explaining stock returns in Pakistan: the CAPM, FAMA-French model and the Carhart model (Unpublished master's thesis). Institute of Business Administration, Pakistan. Retrieved from https://ir.iba.edu.pk/etd/58
The full text of this document is only accessible to authorized users.