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

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.

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