Liquidity and Asset Pricing Model Evidence from Pakistan Equity Market
The theme of this study is to examine the role of liquidity via approaching various asset pricing models in the Pakistan equity market. The liquidity of the firm is measure by the share turnover. This study follows Fama and French three factors approach to construct three factors i.e. size, value an...
| Main Authors: | , , |
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| Format: | Journal Article |
| Language: | English |
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Faculty of Administrative Sciences, Air University, Islamabad
2020
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| Online Access: | https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3375223 http://hdl.handle.net/20.500.11937/95125 |
| _version_ | 1848765972647772160 |
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| author | Khan, Faisal Bangash, Romana Jabeen, Zohra |
| author_facet | Khan, Faisal Bangash, Romana Jabeen, Zohra |
| author_sort | Khan, Faisal |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | The theme of this study is to examine the role of liquidity via approaching various asset pricing models in the Pakistan equity market. The liquidity of the firm is measure by the share turnover. This study follows Fama and French three factors approach to construct three factors i.e. size, value and liquidity. The sample size consists of 298 firms from non-financial industries listed on PSX and consider monthly data from 2001 to 2015 for empirical investigation. By testing four various asset pricing models, this study conclude that four factor asset pricing models better describe the variations in portfolios. The result of the study confirms the significant contribution of liquidity factor in given asset pricing models. Therefore, the academician and practitioner both should consider the liquidity as a significant indicator for estimating the security prices in Pakistan equity market. |
| first_indexed | 2025-11-14T11:43:45Z |
| format | Journal Article |
| id | curtin-20.500.11937-95125 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T11:43:45Z |
| publishDate | 2020 |
| publisher | Faculty of Administrative Sciences, Air University, Islamabad |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-951252024-07-02T03:30:50Z Liquidity and Asset Pricing Model Evidence from Pakistan Equity Market Khan, Faisal Bangash, Romana Jabeen, Zohra The theme of this study is to examine the role of liquidity via approaching various asset pricing models in the Pakistan equity market. The liquidity of the firm is measure by the share turnover. This study follows Fama and French three factors approach to construct three factors i.e. size, value and liquidity. The sample size consists of 298 firms from non-financial industries listed on PSX and consider monthly data from 2001 to 2015 for empirical investigation. By testing four various asset pricing models, this study conclude that four factor asset pricing models better describe the variations in portfolios. The result of the study confirms the significant contribution of liquidity factor in given asset pricing models. Therefore, the academician and practitioner both should consider the liquidity as a significant indicator for estimating the security prices in Pakistan equity market. 2020 Journal Article http://hdl.handle.net/20.500.11937/95125 English https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3375223 Faculty of Administrative Sciences, Air University, Islamabad restricted |
| spellingShingle | Khan, Faisal Bangash, Romana Jabeen, Zohra Liquidity and Asset Pricing Model Evidence from Pakistan Equity Market |
| title | Liquidity and Asset Pricing Model Evidence from Pakistan Equity Market |
| title_full | Liquidity and Asset Pricing Model Evidence from Pakistan Equity Market |
| title_fullStr | Liquidity and Asset Pricing Model Evidence from Pakistan Equity Market |
| title_full_unstemmed | Liquidity and Asset Pricing Model Evidence from Pakistan Equity Market |
| title_short | Liquidity and Asset Pricing Model Evidence from Pakistan Equity Market |
| title_sort | liquidity and asset pricing model evidence from pakistan equity market |
| url | https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3375223 http://hdl.handle.net/20.500.11937/95125 |