Literature Review

S.No. 1. 2012 Author Name Muhammad Ibrahim Khan, Maria Gul, Noorul Mudassar Khan, Bilal Nawaz & Sanaullah .a*ed I9bal and Aziz :aider Kara%hi ;ni*ersi!) 18. A#ril 2008 Research Paper Name Assessing and es!ing !he "a#i!al Asse! $ri%ing Model &"A$M'( A S!ud) In*ol*ing KS+,$a-is!an Arbi!rage #ri%ing !heor)( e*iden%e 0rom an emerging s!o%- mar-e! Year of Publication / Journal .une 2012/ Global .ournal o0 Managemen! and Business 1esear%h 2olume 12 Issue 10 2ersion 1.0 ##. 33,34 A#ril 2008/ he <ahore .ournal o0 +%onomi%s 10 ( 1 &Summer 2008' ##. 123,13= Data 10 %om#anies o0 KS+ 2005,2010 161 is na!ional sa*ing %er!i0i%a!e est "A$M using MS e7%el 2003 Results

"A$M, 0ails !o gi*e a%%ura!e resul!s mos! o0 !he !ime.

2. 2008

2> a%!i*el) !rading s!o%-s in Kara%hi S!o%- +7%hange using mon!hl) da!a 0rom .anuar) 1==? !o @e%ember 2003.

"om#ared !he !wo a##roa%hes !o !es! A$ 1' e7#lora!or) 0a%!or anal)sis #resen!ed b) "hen et al. &1=45' !o es!ima!e !he 0a%!or loadings 2' $re,s#e%i0ied ma%roe%onomi% 0a%!ors a##roa%h

3. 2002

Arduino "agne!!i

"a#i!al Asse! $ri%ing Model and Arbi!rage $ri%ing heor)

2002/ 2olume 2 o0 Aor-ing #a#er &;ni*ersi!) o0 +dinburgh. "en!re 0or

mon!hl) re!urns &end o0 !he mon!h re!urns' 0or a sam#le o0 30 blue

%om#are !he "a#i!al asse! $ri%ing Model and Arbi!rage $ri%ing

6ound !ha! !he resul!s o0 bo!h me!hods are almos! similar. Bo!h indi%a!e subs!an!ial ins!abili!) o0 !he e7#lana!or) #ower o0 !he A$ . wo #ri%ed 0a%!ors were 0ound !o go*ern !he s!o%-s 1' unan!i%i#a!ed and an!i%i#a!ed in0la!ion 2' mar-e! inde7 and di*idend )ield he Arbi!rage $ri%ing heor) #er0orms be!!er, %om#ared !o !he "A$M, in all !he !es!s

Literature Review
in !he I!alian S!o%- Mar-e!( an +m#iri%al S!ud) 6inan%ial Mar-e!s 1esear%h' S%hool o0 Managemen! %hi# %om#anies shares &Mib 30' on !he I!alian s!o%mar-e! wi!h !he Mib!el mar-e! inde7 as mar-e! #ro7), 0rom !he .anuar) 1==0 !o !he .une 2001 in%lusi*e he en!ire #eriod is di*ided in!o !wo sub #eriods( B .anuar) 1==0 , @e%ember 1==8 B .anuar) 1==5 , .une 2001 heor) he number o0 0a%!ors and 0a%!or loadings in !he A$ model are de!ermined !hrough $rin%i#al "om#onen! Anal)sis &$"A' he !es! used 0or !he "A$M and A$ is a !wo,s!e# !es!, whi%h is e7!ensi*el) used in !he li!era!ure &see 1oll and 1oss &1=40', "hen &1=43', <ehmann and Modes! &1=44', "heng &1==8' and Groenewold and 6raser &1==?''. 6ollowing !he a##roa%h used b) "hen &1=43', we use !hree me!hods, !he @a*idson and Ma%-innon e9ua!ion, !he #os!erior odds ra!io and !he residual anal)sis. es!ed !he ade9ua%)

! %onsidered. 6rom !he e*iden%e ga!hered in !his s!ud), !he A$ is a more #ower0ul me!hod !ha! allows %onsidera!ion o0 !he ris- borne on addi!ional s)s!ema!i% Cs!a!e *ariablesD, o!her !han !he mar-e! #or!0olio.

>. 2004

A!!i)a E. .a*aid,

he %ondi!ional

$I@+ Aor-ing #a#ers

@ail) %losing

"on%luded !ha! !he

Literature Review
+a!zaz Ahmed "a#i!al Asse! $ri%ing Model( +*iden%e 0rom Kara%hi S!o%+7%hange 2004( >4 #ri%es o0 >= 0irms lis!ed in KS+ whi%h %on!ribu!ed =0 #er%en! o0 !he !o!al !urno*er o0 KS+ in !he )ear 2000 and KS+ 100 Inde7 were !a-en 0rom .ul) 1==3 !o @e%ember 200> 5 Mon!hs !,bill ra!e is used as 161 o0 S!andard %a#i!al asse! #ri%ing model o0 shar#e &1=58' and lin!ner &1=55' and 0ama 6ren%h &1==3' !hree 0a%!or model in %ondi!ional and un%ondi!ional se!!ings business %)%le *ariables( mar-e! re!urn, %all mone) ra!e, !erm s!ru%!ure, in0la!ion ra!e, 0oreign e7%hange ra!e, grow!h in indus!rial #rodu%!ion, grow!h in real %onsum#!ion, grow!h in oil #ri%es as in0orma!ion se! !o a##l) %ondi!ion anal)zed !hrough a #ooled regression model !o de!ermine whe!her "A$M and A$ models are *alid de!erminan!s o0 !he realized e7%ess re!urn on !hese %om#anies.

" %ondi!ional a##roa%h !o !es! "A$M and hree 6a%!or Model be!!er e7#lain !he asse! #ri%ing rela!ionshi# b) a%%ommoda!ing business %)%le %ondi!ions. :e also %on%luded !ha! ris- #remium is !ime, *ar)ing !)#e in $a-is!ani s!o%- mar-e!.

8. 2011

:. .amal Fubairi, Shazia 6aroo9

es!ing !he *alidi!) o0 "A$M and A$ in !he Gil, gas and 0er!ilizer "om#anies lis!ed on !he Kara%hi s!o%+7%hange

2011/ $AKIS AN B;SIN+SS 1+2I+A G" GB+1 2011, ##. >3=,>84

9uar!erl) re!urns o0 a sam#le o0 1? oil, gas and 0er!ilizer se%!ors %om#anies lis!ed on KS+ 0rom .anuar) 200> !o @e%ember 200= he ben%hmar- 0or !he ris- 0ree

re*eals almos! no %orrela!ion be!ween realized e7%ess re!urns and !he e7#e%!ed re!urn based on "A$M. Ai!h res#e%! !o A$ model, !he s!ud) re0le%!s !ha! %hanges in G@$, in0la!ion, e7%hange ra!e and mar-e! re!urn do no! ser*e as *alid

Literature Review
ra!e 10 is !a-en as Kara%hi In!erbanG00er 1a!e &KIBG1' 6a%!ors %onsidered in A$ are( 1eal G@$, +7%hange ra!e, In0la!ion, Mar-e! 1e!urn he da!a o0 34? %om#anies o0 30 di00eren! se%!ors on mon!hl), 9uar!erl) and semiannual basis are used.

# de!erminan!s o0 re!urns on oil, gas and 0er!ilizer s!o%-s.

5. 2011

S)ed Ali 1aza, S)ed ehseen .awaid, ari0 Im!iaz and 9azi 6ahim

2alidi!) o0 %a#i!al asse! #ri%ing model( e*iden%e 0rom Kara%hi s!o%e7%hange

A0ri%an .ournal o0 Business Managemen! 2ol. 8&32', ##. 128=4, 12508, 1> @e%ember, 2011 @GI( 10.84=?/A.BM11.2108 ISSN 1==3,4233 H2011

he $aired sam#le !, !es! is a##lied !o 0ind !he di00eren%e be!ween a%!ual and e7#e%!ed re!urns.

1esul!s show !ha! %a#i!al asse! #ri%ing model &"A$M' #redi%! more a%%ura!el) !he e7#e%!ed re!urn on a shor! !erm in*es!men! as %om#are !o long !erm in*es!men! he resul!s show e*iden%e in su##or! o0 %ondi!ional mul!i0a%!or "A$M. %on%lude !ha! e7#e%!ed re!urns *aria!ion %ould be e7#lained b) ma%roe%onomi% *aria!ions and !his *ariabili!) has some business %)%le

?. 200=

A!!i)a Easmin .a*id and +a!zaz Ahmad

es!ing mul!i0a%!or 200=/ In!erna!ional %a#i!al asse! 1esear%h .ournal #ri%ing o0 6inan%e and model in %ase o0 +%onomi%s No. 28, $a-is!ani mar-e! ##. 11>,134.

@ail) s!o%- re!urns 0or >= s!o%-s !raded a! Kara%hi S!o%- +7%hange 0or !he #eriod 1==3, 200>. he %ondi!ioning in0orma!ion is !a-en as lagged ma%roe%onomi% *ariables !ha!

"ondi!ional and un%ondi!ional mul!i0a%!or models are !es!ed. he !es! o0 %ondi!ional mul!i0a%!or "A$M is %arried ou! b) s#e%i0)ing %ondi!ional *arian%e as a GA1": &1,1',M #ro%ess. he un%ondi!ional "A$M is #er0ormed using !he

Literature Review
in0luen%e business %ondi!ions in $a-is!an 4. 2005 Md. Mos!a0izur 1ahman and Md. Azizul Ba!en An +m#iri%al es!ing o0 "a#i!al Asse! $ri%ing Model In Bangladesh he 0inal sam#le %onsis!s o0 123 @ha-a S!o%+7%hange lis!ed non,0inan%ial %om#anies. 6i*e )ears #eriod &1===,2003' is %onsidered 0or !his s!ud). modi0ied *ersion o0 s!andard 6ama and Ma%Be!h &1=?3' !wo, s!e# es!ima!ion #ro%edure 6ama,6ren%h I1==2J me!hodolog) on 0i*e *ariables,s!o%mar-e! re!urn, be!a, boo- !o mar-e! *alue, size &Mar-e! %a#i!aliza!ion' and size 1 &sales' were used !o !es! !his model. %orrela!ions.

2005/ .ournal o0 1esear%h &S%ien%e', Bahauddin Fa-ari)a ;ni*ersi!), Mul!an, $a-is!an. 2ol.1?, No.>, G%!ober 2005, ##. 228,23> ISSN 1021,1012

In !he #resen! 0indings on !he "A$M i! has been shown !ha! !he *ariables s!udied ha*e signi0i%an! rela!ionshi# wi!h s!o%re!urn, are s!ill !oo ali*e on !his ground. In !his resear%h #a#er !he im#a%! o0 !ime is obser*ed and as i! is seen !ha! !ime *ariabili!) %auses !he s!o%- re!urn !o *ar) and all *ariables be%ome signi0i%an! wi!h !he !ime 0a%!or. 200=. he 0indings o0 !he s!ud) are no! su##or!i*e o0 !he !heor)Ks basi% h)#o!hesis !ha! higher ris- &be!a'is asso%ia!ed wi!h a higher le*el o0 re!urn. he resul!s ob!ained #ro*ide %reden%e !o !he

=. 2010

Ka#il ":G;@:A1E, Sa-shi ":G;@:A1E

es!ing "a#i!al Asse! $ri%ing Model( +m#iri%al +*iden%es 0rom Indian +9ui!) Mar-e!

2010/ +urasian .ournal o0 Business and +%onomi%s 2010, 3 &5', 12?,134.

mon!hl) s!o%re!urns 0rom 2?4 %om#anies o0 BS+ 800 Inde7 lis!ed on !he Bomba) s!o%e7%hange 0or !he #eriod o0 .anuar) 1==5 !o @e%ember 200=.

"A$M

Literature Review

% linear s!ru%!ure o0 !he "A$M e9ua!ion being a good e7#lana!ion o0 se%uri!) re!urns. i! %an be %on%luded !ha! be!a is no! su00i%ien! !o de!ermine !he e7#e%!ed re!urns on se%uri!ies/#or!0olios. he resul!s %on0irm !ha! !he in!er%e#! is s!a!is!i%all) insigni0i%an!, u#holding !heor), 0or bo!h indi*idual asse!s and #or!0olios. he !es!s do no! ne%essaril) #ro*ide e*iden%e agains! "A$M, howe*er o!her simula!ions %an be buil!, more %lose !o reali!), im#ro*ing !he model and o00ering an al!erna!i*e whi%h also !a-es in!o a%%oun! !he s#e%i0i% %ondi!ions o0 lo%al %a#i!al mar-e! and !he global 0inan%ial %risis %onse9uen%es.

10. 200=

Alina <u%ia ri0an

es!ing %a#i!al asse! #ri%ing model 0or romanian "a#i!al mar-e!

Annales ;ni*ersi!a!is A#ulensis Series Ge%onomi%a, 11&1', 200=, ##. >25 L >3>

bo!h 0or indi*idual asse!s and 0or #or!0olios, using a sam#le o0 dail) da!a 0or 2> %om#anies lis!ed on Bu%hares! S!o%+7%hange, during !he #eriod 05.01.2003 , 31.0?.200=, B+ ," %om#osi!e inde7 has been used as #ro7) 0or !he mar-e! #or!0olio. he ra!e o0 re!urn o0 !he ris-,0ree asse! was

"A$M, %how !es! !o %he%- s!abili!) o0 be!a

Literature Review
%al%ula!ed as a*erage o0 !he in!eres! ra!es o0 go*ernmen! bonds "A$M does no! s#e%i0) a !ime in!er*al 0or !he da!a sele%!ion o0 !he series and !he !ime series %an be sele%!ed ha*ing di00eren! 0re9uen%ies &dail), mon!hl), )earl)' and !he *alues o0 !he be!a %oe00i%ien! are sensi!i*e !o !heir %hoi%e. 11. !''& (u)i uncer *+RS,Y- *ulnara R.J.P,/A .S ,0 (AP1 AL ASS. PR1(1N* 2,D.L 1N 3R4.Y
Dou niversitesi Dergisi- 5 617 !''&- #&8$5

&

20 #or!0olios, ea%h in%luding 10 s!o%-s, o*er !he #eriod o0 1==8,200> IS+ 100 inde7 and ;S ,Bill ra!e, adMus!ed 0or !he di00eren%e be!ween ur-ish and ;S in0la!ion ra!es were used as !he #ro7ies !o !he mar-e! #or!0olio, and !he ris-,0ree ra!e res#e%!i*el).

6ama and Ma%Be!h &1=?3', and $e!!engil e!. al. &1==8' a##roa%hes were sele%!ed as !wo al!erna!i*e me!hods !o be used in !he resear%h.

!he s)s!ema!i% ris- o0 a #or!0olio measured b) be!a %oe00i%ien! is indeed an im#or!an! de!erminan! o0 #or!0olio re!urns in ur-e). here0ore !he use o0 be!a es!ima!ed 0rom #as! #ri%es b) #or!0olio managers seems !o be Mus!i0ied. he resul!s o0 !his s!ud) also sugges! !ha! a #or!0olio o0 high,be!a s!o%-s #er0orm be!!er in u#,mar-e! %ondi!ions,

Literature Review

5
whereas a low,be!a #or!0olio is a be!!er in*es!men! in downmar-e!.

12. !'1!

Na)eem 19bal Sa:i) Rahman 4hatta; 2uhamma) Arif 4hatta; 1na<at 3llah

estin= the Arbitra=e Pricin= heor< on 4arachi Stoc; .>chan=e

1N .RD1S(1PL1NARY J,3RNAL ,0 (,N .2P,RARY R.S.AR(? 1N @3S1N.SS- D.(.2@.R

!'1! 2G< >, NG 4

Mon!hl) da!a 0or all ma%roe%onomi% *ariables and s!o%#ri%es o0 !he sam#led %om#anies is %olle%!ed o*er a #eriod o0 8 )ears &200>,2004'. 25 %om#anies 6our ma%roe%onomi% *ariables &In0la!ion, +7%hange 1a!e, Mone) Su##l) &M1' and Gil $ri%es' are iden!i0ied using #re,s#e%i0ied ma%roe%onomi% *ariable a##roa%h.

Gne sam#le !,!es! is used !o %om#are !he a%!ual and #roMe%!ed s!o%re!urns.

1esul!s o0 !,!es! showed no signi0i%an! di00eren%e be!ween #redi%!ed s!o%re!urns and a%!ual re!urns. hus we %on%luded !ha! !he ou!%ome o0 Arbi!rage $ri%ing heor) is mu%h similar !o a%!ual one and A$ is e00i%ien! enough !o #redi%! !he 0u!ure s!o%re!urns, hen%e i!s *alidi!) is su##or!ed.