African Journal of
Business Management

  • Abbreviation: Afr. J. Bus. Manage.
  • Language: English
  • ISSN: 1993-8233
  • DOI: 10.5897/AJBM
  • Start Year: 2007
  • Published Articles: 4188

Full Length Research Paper

Validity of capital asset pricing model in Pakistan: Evidence from Karachi Stock Exchange

Syed Ali Raza1* Syed Tehseen Jawaid1, Imtiaz Arif1 and Fahim Qazi2
  1IQRA University, Karachi-75300, Pakistan. 2Dadabhoy Institute of Higher Education, Karachi, Pakistan.
Email: [email protected]

  •  Accepted: 26 October 2011
  •  Published: 14 December 2011

Abstract

 

This study investigates the validity of capital asset pricing (CAP) model in Karachi Stock Exchange (KSE). The data used in this study were collected from 387 companies of 30 different sectors on monthly, quarterly and semi-annual basis. The Paired sample t- test is applied to find the difference between actual and expected returns. Results show that capital asset pricing model (CAPM) predict more accurately the expected return on a short term investment as compare to long term investment. It is recommended that the investors should more focus on CAPM results for short term as compare to long term investments in KSE.

 

Key words: Portfolio choice, investment decisions, capital assets pricing model, risk.

Copyright © 2024 Author(s) retain the copyright of this article.

This article is published under the terms of the Creative Commons Attribution License 4.0

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