Abstract:This study is aimed to test the validity of the postmodern theory of portfolio with the help of the market-based model, and 100 companies’ data has been used for the period 1st Jan, 2005 to 1st Feb, 2021 for listed companies at PSX. The explanatory power of CAPM is tested with the risk measures beta, idiosyncratic risk, semivariance/downside risk (Yildiz & Erzurumlu, 2018) and value at risk (VaR). Results of the GARCH (1,1) model indicates that E(R) DR and E(R) VaR has a significant impact on volatility by… Show more
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