Content Details | NUML Online Research Repository

Content Details

Back to Department Listing

Title Liquidity augmented capital asset pricing model

Author(s) Sadaf Iqbal

Abstract This study examines the effect of an overall market factor and liquidity risk factor on expected returns of an asset in emerging market of Pakistan. Traditional CAPM alone was unable to explain the variations in returns in Pakistan as proved from many past researches. The liquidity risk, which is the main problem of emerging markets, is added to CAPM to increase its explaining power. Monthly data for the period of 2008-2017 was taken for PSX 100-index. Turnover proxy was used for liquidity which has significant impact on excess stock returns. The results of this study suggests that LCAPM performs better than single factor model.

Type Thesis/Dissertation MS

Faculty Management Sciences

Department Management Sciences

Language English

Publication Date 2019-01-17

Subject Finance

Publisher

Contributor(s)

Format

Identifier

Source

Relation

Coverage

Rights