Economics, Econometrics and Finance
7 years ago

New study reveals powerful models to predict stock returns in Pakistan.

1 view
Paradigms
A COMPARATIVE STUDY OF CAPM AND SEVEN FACTORS RISK ADJUSTED RETURN MODEL
Madiha Riaz Bhatti, Abu Bakar Mirza

Paper Summary

The article compares two models, CAPM and a seven-factor model, to predict stock returns in the financial sector of Karachi Stock Exchange. Daily returns from January 2013 to February 2014 were analyzed, showing that both models are valid in the Pakistani market. The results suggest that all variables studied explain stock returns, and adding more factors to CAPM improves its predictive power. This study supports fund managers in making investment decisions.

Related papers

Economics, Econometrics and Finance
4 years ago

Stocks with high betas don't guarantee higher returns, study finds.

Asset Pricing
Value-based Management
Credit Expansion
1 view
Economics, Econometrics and Finance
4 years ago

CAPM found unreliable for high-risk portfolios in Indian stock markets.

Asset Pricing
Stock Market Predictions
2 views
Economics, Econometrics and Finance
5 years ago

Unlocking Wealth: Diversification Reduces Risk and Boosts Returns in Stock Market

Asset Pricing
Corporate Governance
Risk Management
1 view