Search Results - subject:"Business-Cycle Variables"

Time Varying Risk Return Relationship: Evidence from Listed Pakistani Firms

Javid, Attiya Yasmin - Volkswirtschaftliche Fakultät, … - 2008

This study empirically investigates the Fama-French three-factor model and consumption CAPM model in unconditional and conditional setting with individual stocks traded at Karachi Stock Exchange (KSE), the main equity market in Pakistan for the period 1993-2004. These extensions are in response...

Persistent link: https://www.econbiz.de/10011108474

Testing multifactor capital asset pricing model in case of Pakistani market

Javid, Attiya Yasmin; Ahmad, Eatzaz - Volkswirtschaftliche Fakultät, … - 2008

The analysis of this study explores a set of macroeconomic variables along with market return as the systematic sources of risks explaining variations in expected stock returns for 49 stocks traded at Karachi Stock Exchange for the period 1993-2004. Some of these economic variables are found to...

Persistent link: https://www.econbiz.de/10011259489

The Conditional Capital Asset Pricing Model: Evidence from Karachi Stock Exchange

Javid, Attiya Y.; Ahmad, Eatzaz - Pakistan Institute of Development Economics - 2008

. The information set includes the first lag of the following business cycle variables: market return, call money rate, term …-factor CAPM shows that the asset prices relationship is better explained by accommodating business cycle variables as information …

Persistent link: https://www.econbiz.de/10005626231