Theses and Dissertations
Student Number
03751
Degree
Master of Science in Economics
Department
Department of Economics
Date of Award
Spring 2014
Advisor
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
Thesis
Access Type
Restricted Access
Document Version
Final
Pages
ix, 49
Keywords
Capital Asset Pricing Model (CAPM), Carhart Model, FAMA-French Model, Karachi Stock Exchange (KSE), Pakistan Stocks
Subjects
Economics
Abstract
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.
Link to Catalog Record
https://ils.iba.edu.pk/cgi-bin/koha/opac-detail.pl?biblionumber=105682
iRepository Citation
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 Explaining stock returns in Pakistan: the CAPM, FAMA-French model and the Carhart model (Unpublished master's thesis).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
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