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Title CAPM VS DCAPM: An empirical study on Pakistan Stock exchange

Author(s) Asif Rauf

Abstract This study investigates applicability of Capital Asset Pricing Model and Downside Capital Asset Pricing model in Pakistani Stock Exchange. The second reason for conducting the study is to dig out a better performing model in Pakistan. CAPM is used as a tool for the valuation of investment in Stock Market with the relationship of Excess Stock Return and risk on Stocks. The study is conducted in Pakistan Stock Exchange as the main and the only stock Market in Pakistan. The analysis is done by taking 60 companies which were randomly selected from the market. The weekly returns are taken for each of the company. Beta for every company was calculated individually. The market returns were regressed with the individual company return individually for both CAPM and Downside CAPM. Later on the portfolios were constructed on the basis of beta. The portfolios were then regressed with the market return. The results suggested that testing CAPM on individual company base perform better than the Downside CAPM but on the other hand, portfolio base results suggested that Downside CAPM perform better than the CAPM. The results of the investigation are in accordance with alternate studies conducted in Pakistan Stock Exchange however with different time and test measure.

Type Thesis/Dissertation MS

Faculty Management Sciences

Department Management Sciences

Language English

Publication Date 2018-11-30

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