Asset Pricing Model Conditional on Up and Down Market for Emerging Market PDF Download

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Asset Pricing Model Conditional on Up and Down Market for Emerging Market

Asset Pricing Model Conditional on Up and Down Market for Emerging Market PDF Author: Nida Shah
Publisher:
ISBN:
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Languages : en
Pages : 31

Book Description
This study tests the validity of asset pricing model conditional on up and down market for emerging market of Pakistan. The results indicate that when emerging market undergoes negative market excess return, basic capital asset pricing model is inaccurate to predict stock returns. Although the conditional asset pricing model accurately predicts the risk-return trade off with beta as sole determinant of stock returns when there is up market, however yet it is significantly variant during down market where significant impact of residuals is evinced on stock returns. The market excess returns of up and down markets are also found asymmetric.
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