A Comparison of Competing Asset Pricing Models: Empirical Evidence from Pakistan

In recent years, the rapid and significant development of emerging markets has globally led to insight from potential investors academicians seeking assess these in terms risk inheritance. Therefore, this study aims explore validity applicability capital asset pricing model (henceforth CAPM) multi-factor models, namely Fama–French Pakistan’s stock market for period June 2010–June 2020. This collects data on 173 non-financial firms listed Pakistan exchange, KSE-100 index, follows Fama-MacBeth’s regression methodology empirical estimation. The findings conclude that small portfolios (small-size companies) earn considerably higher returns than big (large-size companies). Ultimately, associated with portfolio is reported be According output, CAPM was found valid explaining premium above risk-free rate. Similarly, FF three-factor time-series variation excess returns. Later, we added human into three- five-factor models. base six-factor outperformed other competing indicate more reward investor taking extra risks. Investors may benefit by timing their investments maximize Company investment adds reliable information, replicates value company and, long term, helps make rational decisions.