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In this study, we try to answer several empirical questions related to testing of asset pricing models in Pakistan. First, we test the assumptions of capital asset pricing model (CAPM) using cross-sectional regression methodology of Fama and MacBeth (FMB) (1973). Second, we test the conditional relationship between beta and expected returns using FMB cross-sectional regressions. Third, we test and compare the explanatory power of CAPM and Fama and French (1993) three factor models usingdoi:10.26710/jafee.v7i1.1592 fatcat:gkc26o37mfadjiky2ed77tbfgu