Size and Value Premium in Karachi Stock Exchange

2008 ◽  
Author(s):  
Nawazish Mirza
Keyword(s):  
Stock Exchange ◽  
Value Premium

scholarly journals Cash to Price Ratio & Stock Returns: Evidence from Emerging Markets

2017 ◽  
Vol 9 (11) ◽  
pp. 153
Author(s):  
Nudrat Fatima ◽  
Muhammad Waqas ◽  
Rameez Hassan ◽  
Ahmad Fraz ◽  
Muhammad Arif
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Positive Relationship ◽  
Stock Exchange ◽  
Equity Markets ◽  
Value Premium ◽  
Size Premium ◽  
Market Premium ◽  
Relationship Of ◽  
India And China

This study examines the impact of size premium and value premium on average return in emerging economies i.e. Pakistan, India and China equity markets for the period from June 2000 to June 2015 by using three factors model. This study predicts the significance and positive relationship between value premium(C/P Ratio) and stock return for all non-financial companies listed on Karachi stock exchange, Bombay stock exchange and Shanghai stock exchange on the basis of market Capitalization. The regression results of the study illustrate that size premium predict returns more for small firms than big firms while market premium found significantly positive with stock returns in Pakistan, India, and China. Value premium is found positive for all created portfolios. Therefore, it can be concluded that value effect is present in three emerging markets. High C/P ratio outperforms the low C/P ratio stocks. In this study C/P ratio (value premium) integrated with size and market premium to check whether it can predict stock returns of small and large firms for high or low C/P ratio. The finding is similar that the positive relationship of value premium and stock return and the negative relationship of size premium and stock return. The explanatory power of Fama and French three-factor model is greater than CAPM for all three equity markets, so, the asset pricing model can facilitate investors in efficient portfolio diversification for getting enhanced returns.

scholarly journals Factors of Stock Return and Carhart Model: The Case of Dhaka Stock Exchange (DSE) of Bangladesh

2019 ◽  
Vol 11 (6) ◽  
pp. 14
Author(s):  
Mohammad Akter Hossan ◽  
Mohammad Joynal Abedin
Keyword(s):  
Risk Premium ◽  
Stock Return ◽  
Stock Exchange ◽  
Market Value ◽  
Value Premium ◽  
Excess Return ◽  
Momentum Effect ◽  
Market Risk Premium ◽  
Price Momentum ◽  
Size Premium

The objective of this study is to find factors of stock return by testing validity of Carhart model in Dhaka Stock Exchange (DSE) of Bangladesh. For this purpose, this study uses monthly excess return of portfolios, size, book-to-market value, market return, and price momentum data of 109 sample firms to calculate return factors such as market risk premium, size premium (SMB), value premium (HML), and momentum effect (UMD) for the sample period of 2005 to 2014. Then a total of ten portfolios, six based on size and book-to-market value and four based on size and price momentum, are constructed in this study. Excess return of each of these portfolios are calculated and regressed on the above four factors. Results of this study reveal that in DSE, market risk premium is positively and significantly related with the excess return of all portfolios; Size premium is found positively and significantly related with the return of small size portfolios; Value premium is found negatively and significantly related with the returns of all portfolios except one big portfolio (B/H); momentum effect is found positively and significantly related to the excess return of up (U), big (B), and small (S) size portfolios. It is also evident from R2 value, F statistic, and robustness test of this study that four-factor model is valid and it can predict portfolio returns accurately when there is no abnormality such as market crash occurs in DSE.

scholarly journals Determining Force behind Value Premium: The Case of Financial Leverage and Operating Leverage

2020 ◽  
Vol 13 (9) ◽  
pp. 196
Author(s):  
Hafiz Muhammad Zia ul haq ◽  
Muhammad Sohail Shafiq ◽  
Muhammad Kashif ◽  
Saba Ameer
Keyword(s):  
Stock Returns ◽  
Financial Distress ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Theoretical Models ◽  
Value Premium ◽  
Financial Leverage ◽  
Investment Activity ◽  
Book To Market Ratio ◽  
Operating Leverage

The determining force behind the value premium is the matter of debate among the researchers. Some are of the opinion that the financial distress risk determines value premium whereas other theorize that value premium is basically the compensation for operating leverage (investment activity risk). This research provides empirical evidence on this theoretical contradiction by investigating the relationships of financial leverage (FL) and operating leverage (OL) with stock returns, the book to market ratio (B/M), and systematic risk on non-financial sector firms trading at the Pakistan stock exchange (PSE). This research empirically finds significant and direct influence of operating leverage on stock returns, the book to market ratio, and systematic risk respectively. Overall findings provide support for the theoretical models which have a linked book to market effect with operating leverage. Thus, we conclude that investment activity risk seems to be the major factor that determines value premium.

scholarly journals Application of the q-factor Model to the Japanese Share Market

2017 ◽  
Vol 9 (6) ◽  
pp. 15
Author(s):  
Brooke Alexandra Maeda
Keyword(s):  
Asset Pricing ◽  
Factor Model ◽  
Stock Exchange ◽  
Value Premium ◽  
Q Factor ◽  
Pricing Model ◽  
Monthly Data ◽  
Asset Pricing Model ◽  
Tokyo Stock Exchange ◽  
Three Factor

This paper tests the performance of the q-factor model proposed by Hou et al. (2015) to the Japanese share market. It examines ten years of monthly data for shares listed on both the First section and Second section of the Tokyo Stock Exchange. The results suggest that the q-factor model does not adequately explain returns for shares listed on the Tokyo Stock Exchange. For comparison purposes the data sample is applied to the Fama French three-factor model. The results of this analysis suggest that the Fama French three-factor model is more appropriate for the Japanese share market, and it provides evidence of a strong value premium. The factor which correlates to the value factor in the q-factor model was not significant, providing stronger support against the q-factor model as an adequate asset pricing model for Japan. 

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