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Nawazish Mirza and Krishna Reddy
''Asset Pricing in a Developing Economy: Evidence from Pakistan''
( 2017, Vol. 37 No.4 )
This study provides a comparative account of three asset pricing models for a developing economy. Like most developing markets Pakistan stock exchange (PSX) is also subject to market making activities by few large investors, non-synchronous trading, loose monitoring controls and small market size. We find no support for capital asset pricing model, however, size and value based risk factors were observed to be significant. The four factor momentum model proved to be superior suggesting pricing of momentum in stock returns. As asset pricing models are vital in financial decision making, this research has important implications for financial managers and investors.
Keywords: G10, G12, G15
Manuscript Received : Oct 08 2017 Manuscript Accepted : Nov 19 2017

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