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  • 标题:Comparing CAPM and FAMA French for Predicting Stock Returns: New Evidence from Pakistan Stock Exchange
  • 本地全文:下载
  • 作者:Sharif Ullah Jan ; Shahid Iqbal ; Alamzeb Aamir
  • 期刊名称:Ilköğretim Online/Elementary Education Online
  • 印刷版ISSN:1305-3515
  • 电子版ISSN:1305-3515
  • 出版年度:2021
  • 卷号:20
  • 期号:3
  • 页码:1748-1754
  • DOI:10.17051/ilkonline.2021.03.203
  • 语种:English
  • 出版社:Öğretmen Eğitimi Akademisi
  • 摘要:The aim of this study is to investigate return differences, accuracy and reliability of Capital Asset Pricing Mode (CAPM) and Fama-French Model for Pakistan Stock Exchange. A time series data set from January 3, 2014 to December 31, 2018 were used to analyze the yield spread estimates for 50 listed companies from KSE-100 list.. Most companies provide important evidence that demonstrates the impact of size factor and book value on earnings forecasts. According to the analysis, companies with lower book value ratios have better returns than companies with higher ratios.In addition, size factor shows that large companies' portfolios offer higher returns than small one. The additional factors of Fama-French model (size and value) provide more significant results than the single factor model. The study analyzedthat Fama French provides more accurate results for the Pakistan Stock Exchange as compare to CAPM. Therefore, Fama French model is suggested for yield measurement particularly forPakistan Stock Exchange..
  • 关键词:Portfolio;CAPM;Fama & French;Market Return;Size Premium;Value Premium;ExcessReturn
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