文章基本信息

标题：An Empirical Analysis of Higher Moment Capital Asset Pricing Model for Karachi Stock Exchange (KSE)
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作者：Irfan Lal ; Muhammad Mubeen ; Adnan Hussain 等
期刊名称：Open Journal of Social Sciences
印刷版ISSN：2327-5952
电子版ISSN：2327-5960
出版年度：2016
卷号：04
期号：06
页码：53-60
DOI：10.4236/jss.2016.46006
语种：English
出版社：Scientific Research Publishing
摘要：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.
关键词：Capital Assets Price Model;Higher Moment