Applicability of Capital Assets Pricing Model (CAPM) on Pakistan Stock Markets مقاله

نویسنده: M. Rizwan Qamar ؛ S. Rehman ؛ S. A. Shah ؛

International Journal of Management and Business Research Winter 2014, Volume 4 - Number 1 (‎10 صفحه - از 1 تا 10 )

کلیدواژه ها: Portfolio CAPM Expected Return KSE βeta Market Return Risk free return Stocks Capital Assets Pricing Model

چکیده:

Capital Assets Pricing Model is used as a tool for the estimation of Investments in Capital Markets with therelation of Expected return and Risk on Securities. This study examines the applicability of CAPM on Pakistan Stock Markets and Karachi Stock Exchange being the main capital market of Pakistan is taken for the study. The analysis is done by taking a sample of 10 performing companies of 100 index of KSE for a period of five years from 2006 to 2010. The monthly returns are taken and beta of each security is calculated which is used in the calculation of Expected returns. Microsoft Office (MS Excel) is used for most of the calculations. The empirical findings of this study do not support to the CAPM in Pakistan Stock Markets. In all three types of beta, it gives different results. The results of this study are in line with the previous researches conducted on Pakistan Stock markets but with different time periods and different sample size

خلاصه ماشینی:

A. Shah 1,2,3 Faculty of Contemporary Studies, National Defence University, Islamabad, Pakistan Received 9 October 2013, Accepted 17 November 2013 ABSTRACT: Capital Assets Pricing Model is used as a tool for the estimation of Investments in Capital Markets with therelation of Expected return and Risk on Securities. Where in (Ahmad, 2008) results of Karachi Stock Exchange do not support the CAPM, 49 companies and KSE 100 index data has taken and the findings show that Sharpe model is not useful for Pakistan equity market and CAPM at KSE is credited inefficient in market because a positive tradeoff among market risk and market return, is rejected, secondly the remaining risk plays some functions in pricing risky assets (Ahmad, 2008). RESEARCH METHOD The research question is "Does the Capital Assets Pricing Model (CAPM) assist the investors in evaluating the securities and give the reliable results if applied on Pakistan Stock Markets. Our study also some extent verify the results of Lau and quay (1974) who put forth that the Capital Assets Pricing Model is applicable on the Tokyo Stock Exchange where the actual returns of were slightly different from the expected returns in most of the years. So by comparing the results with previous researches and on the basis of our own findings, we conclude that the CAPM is not an applicable model for the calculation of expected returns of the stocks and it might mislead the investors in pricing the underlying securities in most of the cases.

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