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DETERMINATION OF STOCK RETURNS USING FIVE-FACTOR CAPM: EVIDENCE FROM PSX |
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| รหัสดีโอไอ | |
| Creator | Saira Munir, Muhammad Sajjad, Asad Afzal Humayon, Muhammad Irfan Chani |
| Title | DETERMINATION OF STOCK RETURNS USING FIVE-FACTOR CAPM: EVIDENCE FROM PSX |
| Contributor | - |
| Publisher | TuEngr Group |
| Publication Year | 2563 |
| Journal Title | International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies |
| Journal Vol. | 11 |
| Journal No. | 8 |
| Page no. | 11A8O: 1-10 |
| Keyword | Capital Assets Pricing Model (CAPM), Below market value, Premium, Firm Size, Financial Sector, Investment, Profitability, Book-to-Market value (BMV). |
| URL Website | http://TuEngr.com/Vol11_8.html |
| Website title | ITJEMAST V11(8) 2020 @ TuEngr.com |
| ISSN | 2228-9860 |
| Abstract | Stock returns indicate variations in future economic activity but literature is inconclusive in defining this relationship. To elucidate this relationship, the study empirically analyzes the impact of stock returns using the Capita Pricing Model (CAPM). Data is accessed from the Pakistan Stock Exchange (PSX) monetary sector for 2002-2017. Premium, Book-to-Market value (BMV), investment, size, and market value were taken as the predictors of Stock Returns. Panel regression analyses were used to estimate the relationship between the observed variables. For further analysis, the random and fixed model analysis was applied. In comparison with random and fixed models, it was observed that the fixed model has the least preference over the random model, so the fixed model analysis was opted to estimate the stock returns. It was observed that the fixed effect model should be preferred over the random effect model to estimate the stock returns. Empirical results revealed that there was a progressive and statistically significant relation among premium, size, investment, and profitability on stocks while BMV had positive but inconsequential relation with stocks. This study also clinched that Fama and French five factors are the best predictors of stock returns of financial firms in the Pakistani context. |
