Asset pricing dynamics in sustainable equity portfolios

Evidence from the Pakistan Stock Exchange

Bibliographic Data

ID15068193
AuthorsAbdul Qadeer (0000-0002-6757-0812, University of the Punjab, corresponding author), Leonard De Moor (0000-0002-1290-2971, Vrije Universiteit Brussel), Ashfaq Ahmad (0000-0002-1657-2324, Vrije Universiteit Brussel)
Year2023
Volume36
Issue3
Publication date2023-12-25
Open AccessYes
TypeARTICLE
VenueEconomic Research-Ekonomska Istraživanja (JOURNAL)
Journal identifiersISSN: 1331-677X • E-ISSN: 1848-9664
PublisherInforma UK Limited (PUBLISHER • GB)
DOI10.1080/1331677x.2022.2147977
OpenAlexW4311597062
LanguageEN
References cited41

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 three-factor 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)

Arbitrage pricing theory · Business · Capital asset pricing model · Consumption-based capital asset pricing model · Cost of capital · Cost of equity · Economics · Financial economics · Market liquidity · Microeconomics · Monetary economics · Stock exchange · Financial Markets and Investment Strategies · Islamic Finance and Banking Studies · Market Dynamics and Volatility · Finance

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Open DOIOpen Access