The explanatory power of higher moment capital asset pricing model in the Karachi stock exchange

Akbar, Muhammad and Nguyen, T.T. (2016) The explanatory power of higher moment capital asset pricing model in the Karachi stock exchange. Research in International Business and Finance, 36. pp. 241-253. ISSN 02755319 (ISSN)

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Abstract

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. © 2015 Elsevier B.V.

Item Type: Article
Identification Number: https://doi.org/10.1016/j.ribaf.2015.09.020
Dates:
DateEvent
10 September 2015Accepted
28 September 2015Published Online
1 January 2016Published
Uncontrolled Keywords: Beta, CAPM, Co-kurtosis, Co-skewness, Covariance
Subjects: N300 Finance
Divisions: Faculty of Business, Law and Social Sciences > Birmingham City Business School > Department of Accounting, Finance and Economics
REF UoA Output Collections > REF2021 UoA17: Business and Management Studies
Depositing User: Users 18 not found.
Date Deposited: 23 Nov 2016 12:41
Last Modified: 08 Oct 2020 09:38
URI: http://www.open-access.bcu.ac.uk/id/eprint/544

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