کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1003512 1481797 2016 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The explanatory power of higher moment capital asset pricing model in the Karachi stock exchange
ترجمه فارسی عنوان
قدرت توضیحی مدل قیمت گذاری لحظه‌ای بالاتر دارایی سرمایه‌ای در بورس کراچی
کلمات کلیدی
بتا؛ CAPM؛ شرکت کشیدگی؛ چولگی شرکت ؛ کوواریانس
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
چکیده انگلیسی


• No substantial empirical evidence to support higher-moments CAPM over full sample.
• Some support for co-skewness and co-kurtosis over some sub-sample periods.
• Market portfolio is efficient as the intercept term is insignificant.
• Efficient market portfolio suggests no persistent systematic mispricing of stocks.

The study investigates the empirical validity of the higher-moment capital asset pricing model in the Karachi stock exchange. The sample consists of 313 stocks listed on the KSE over the sample period from July 2000 to June 2011. The findings suggest that covariance, co-skewness and co-kurtosis risks are mostly insignificantly priced in conditional and unconditional form over the full and sub-sample periods. However, over the sub-sample period of June 2007 to July 2009, the unconditional co-skewness risk is negatively and statistically significantly priced (white heteroskedasticity-consistent standard errors and covariance matrix). Co-skewness risk is marginally statistically significantly (at 10%) and correctly priced over the full sample period using the three-moment specification using white heteroskedasticity-consistent standard errors and covariance matrix. Furthermore, co-kurtosis risk is positively and statistically significantly priced over the sub-sample periods of July 2003 to February 2006 and July 2003 to June 2005 using Generalized Least Squares as estimation technique for the cross sectional regression.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 36, January 2016, Pages 241–253
نویسندگان
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