The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries
Journal Title: Global Social Sciences Review - Year 2018, Vol 3, Issue 3
Abstract
The study aims to empirically investigate the applicability of the downside risk based Capital Asset Pricing Model (CAPM) for four south Asian countries e.g. Bangladesh, India, Pakistan and Sri Lanka. Fama-MacBeth methodology is used for monthly data from January 2007 to December 2017. The results partially supported the predictors of the model for all the four equity markets and can be concluded that the downside risk based CAPM better suits the emerging equity markets. All market players may be benefited with the results concluded in the study. The region have large similarities and the setup of the equity markets is also quite identical, making them suitable for an integrated stock market.
Authors and Affiliations
Syed Aziz Rasool, Adiqa Kausar Kiani, Noor Jehan
Keywords
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- EP ID EP606208
- DOI 10.31703/gssr.2018(III-III).15
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