Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2022.2147977
Asset pricing dynamics in sustainable equity portfolios: Evidence from the Pakistan Stock Exchange
Abdul Qadeer
Lieven De Moor
Ashfaq Ahmad
Sažetak
Financial markets are an important segment of the economy that
can play a critical role in facilitating the attainment of sustainable
development goals (SDGs). The equity aligned to these objectives
is designed on the principles of Shariah, which are consistent with
SDGs In this study, we explore the dynamics of asset pricing in
equity, listed on the newly born Pakistan Stock Exchange–Karachi
Meezan Index (PSX–KMI) All Share Index as ‘Shariah-compliant’,
using Fama–French asset pricing models. Although our results fail
to validate the capital asset pricing model (CAPM), multifactor
models perform reasonably well, with exceptions in each model.
The value premium seems silent in the five-factor model, whereas
the liquidity factor is more attributable in the augmented threefactor
model. Despite exceptions, based on the Gibbons, Ross,
and Shanken (GRS) test, we confirm the validity of multifactor
models to price sustainable equity portfolios (SEPs).
Ključne riječi
asset pricing; sustainable equity; Fama–French; sustainable development goals (SDGs)
Hrčak ID:
307992
URI
Datum izdavanja:
1.9.2023.
Posjeta: 140 *