Return and Risk in Short Period Using Asset Pricing Model in Cement Industry of Pakistan

Journal of Business and Management Sciences, Vol. 2, No. 2, July 2012, 65-82

19 Pages Posted: 9 Oct 2014 Last revised: 19 Oct 2014

See all articles by Muhammad Khan

Muhammad Khan

International Islamic University; UBL Fund Managers Limited

Syed Zulfiqar Ali Shah

International Islamic University; Mohammad Ali Jinnah University (MAJU)

Date Written: July 2012

Abstract

The paper explains the required return and risk analysis of cement industry in Pakistan to determine the relationship among risk and expected return by capital asset pricing model (CAPM). There are total 18 companies are selected from the cement industry in Pakistan. The secondary data collection is used to calculate risk and return. The daily stock prices of 18 companies in cement industry and daily market data are taken for the period of January 2007 to December 2011. The pricing model is used for return and risk analysis is CAPM. The standard deviation is calculated as a risk of each security with mean returns and then market return is calculated to measure the systematic risk. The results are associated with this study that shows the validity in short period of time. The CAPM provides the nearly accurate results in given combination of years (2007-2011) in this short period of time of cement industry in Pakistan. All the companies in cement industry do not have same level of risk in same period of time.

Keywords: Required Return, Risk, CAPM, Cement Industry, Pakistan

Suggested Citation

Khan, Muhammad and Khan, Muhammad and Ali Shah, Syed Zulfiqar, Return and Risk in Short Period Using Asset Pricing Model in Cement Industry of Pakistan (July 2012). Journal of Business and Management Sciences, Vol. 2, No. 2, July 2012, 65-82, Available at SSRN: https://ssrn.com/abstract=2506804

Muhammad Khan (Contact Author)

International Islamic University ( email )

PO Box 1243, Sector H-10
Islamabad, PA Federal Area (Punjab) 44000
Pakistan
+92-343-8563544 (Phone)

HOME PAGE: http://ssrn.com/author=1932744

UBL Fund Managers Limited ( email )

UBL Building, Floor-II, Blue Area
Islamabad, PA Federal Area (Punjab) 44000
Pakistan
+92-333-5538487 (Phone)

HOME PAGE: http://ssrn.com/author=1932744

Syed Zulfiqar Ali Shah

International Islamic University ( email )

PO Box 1243
Sector H-10
Islamabad, Kpk 44000
Pakistan

Mohammad Ali Jinnah University (MAJU) ( email )

74 E
Blue Area, Jinnah Avenue
Islamabad, Punjab 46000
Pakistan

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