An Empirical Analysis of Higher Moment Capital Asset Pricing Model for Karachi Stock Exchange (KSE)

Open Journal of Social Sciences, 2016, 4, 53-60

8 Pages Posted: 6 Feb 2017

See all articles by Irfan Lal

Irfan Lal

Institute of Business Management (IoBM); University of Karachi - Applied Economics Research Centre; Institute of Business Management

Muhammad Mubeen

Bilkent University, Department of Management, Students; IQRA University - IQRA University (Gulshan Campus)

Adnan Hussain

Benazir Bhutto Shaheed University, Lyari, Karachi; University of Karachi - Applied Economics Research Centre

Muhammad Zubair

Indus University

Date Written: February 2, 2016

Abstract

The purpose behind this study is to explore the relationship between expected return and risk of portfolios. It is observed that standard CAPM is inappropriate, so we introduce higher moment in model. For this purpose, the study takes data of 60 listed companies of Karachi Stock Exchange 100 index. The data are inspected for the period of 1st January 2007 to 31st December 2013. From the empirical analysis, it is observed that the intercept term and higher moments coefficients (skewness and kurtosis) are highly significant and different from zero. When higher moment is introduced in the model, the adjusted R square is increased. The higher moment CAPM performs cooperatively perform well

Keywords: Capital Assets Price Model, Higher Moment

Suggested Citation

Lal, Irfan and Mubeen, Muhammad and Hussain, Adnan and Zubair, Muhammad, An Empirical Analysis of Higher Moment Capital Asset Pricing Model for Karachi Stock Exchange (KSE) (February 2, 2016). Open Journal of Social Sciences, 2016, 4, 53-60, Available at SSRN: https://ssrn.com/abstract=2910693

Irfan Lal

Institute of Business Management (IoBM) ( email )

Plot # 84
Korangi Creek
Karachi, Sindh 75190
Pakistan

University of Karachi - Applied Economics Research Centre ( email )

Main University Road
Karachi University
Karachi, SC Sindh 75270
Pakistan
00923212348843 (Phone)

Institute of Business Management ( email )

D-93040 Regensburg
Germany

Muhammad Mubeen (Contact Author)

Bilkent University, Department of Management, Students ( email )

Ankara
Turkey

IQRA University - IQRA University (Gulshan Campus) ( email )

Abid Town, Block-2, Gulshan-e-Iqbal
Karachi, Sindh 75300
Pakistan

Adnan Hussain

Benazir Bhutto Shaheed University, Lyari, Karachi ( email )

Faqir Mohammad Dura Khan Road,
Near cheel chowk
Karachi, Sindh 75500
Pakistan

HOME PAGE: http://www.bbsul.edu.pk

University of Karachi - Applied Economics Research Centre ( email )

Mail University Road
Karachi University
Karachi, SC Sind 75270
Pakistan

Muhammad Zubair

Indus University ( email )

ST-2D, Block 17, Gulshan-e-Iqbal
Gulshan-e-Iqbal
Karachi, Sindh 75300
Pakistan

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
37
Abstract Views
237
PlumX Metrics