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Full-Text Articles in Social and Behavioral Sciences
Testing Asset Pricing Models On The Pakistan Stock Exchange, Kiran Lohano, Muhammad Kashif
Testing Asset Pricing Models On The Pakistan Stock Exchange, Kiran Lohano, Muhammad Kashif
Business Review
This study investigates the performance of CAPM, three-factor and five-factor asset pricing models on the Pakistan Stock Exchange using monthly data of 896 companies from November 2000 to December 2016. The results from the time-series approach show that the three-factor model performs relatively better than the CAPM and the five-factor model, whereas the cross-sectional approach establishes the superiority of the five-factor model. It can thus be concluded that it is important to incorporate factors, such as size, value, profitability and investment when predicting returns on securities in the Pakistan Stock Exchange.
Can Investors Benefit From Momentum Trading? Evidence From An Emerging Market, Sana Tauseef, Mohammad Nishat
Can Investors Benefit From Momentum Trading? Evidence From An Emerging Market, Sana Tauseef, Mohammad Nishat
Business Review
It is claimed that momentum trading strategies generate positive returns. This paper investigates the profitability of momentum investment strategies and their determinants for stocks listed on the Pakistan Stock Exchange using data from the period 2001 to 2015. The results reveal that momentum returns for Pakistani stocks are as high as the returns reported for developed markets. Moreover, the returns earned over the sub-period 2001 to 2007 are mostly positive, whereas those earned over the sub-period 2009 to 2015 are mostly negative. Momentum returns in Pakistan, however, are not caused by temporary over or under reaction of investors in the …