The Low Volatility Puzzle : Evidence from Kse 100 of Pakistan

dc.contributor.author	Rabia Khalid, 01-297142-022
dc.date.accessioned	2017-07-10T04:49:31Z
dc.date.available	2017-07-10T04:49:31Z
dc.date.issued	2016
dc.identifier.uri	http://hdl.handle.net/123456789/2256
dc.description	Supervised by Dr. Arif Khattak	en_US
dc.description.abstract	Modern portfolio theory suggests that investors hold a portfolio of stocks to diversify idiosyncratic risk. The capital asset pricing model (CAPM) builds on the portfolio theory and predicts that all investors hold the market portfolio in equilibrium. As a result, only systematic risk is priced in equilibrium and idiosyncratic risk is not.This study investigates the relation between idiosyncratic volatility and returns in Karachi Stock Exchange (KSE) 100 index of Pakistan for the period July 2009 to June 2015. The results show that there is a negative relationship between idiosyncratic risk and expected returns and the internationally documented strong performance of low volatility stocks relative to high volatility stocks is present in Pakistan.	en_US
dc.language.iso	en	en_US
dc.publisher	Bahria University Islamabad Campus	en_US
dc.relation.ispartofseries	MS Finance;MFN 4977
dc.subject	Geophysics	en_US
dc.title	The Low Volatility Puzzle : Evidence from Kse 100 of Pakistan	en_US
dc.type	Thesis	en_US