Size, Value and Momentum in Pakistan Equity Markets: Size and Liquidity Exposures.
The study inspects the size and liquidity pattern in Pakistan equity market. Sample size contains 278 non-financial firm’s monthly data listed on Pakistan Stock Exchange (PSX) from 2001 to 2012. This study uses three asset pricing models (eq.5), (eq.6) and (eq.7). Four factors asset pricing model e...
| Main Authors: | , , |
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| Format: | Journal Article |
| Language: | English |
| Published: |
2018
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| Online Access: | https://www.gssrjournal.com/article/Size-Value-and-Momentum-in-Pakistan-Equity-Market:-Size-and-Liquidity-Exposures http://hdl.handle.net/20.500.11937/95211 |
| _version_ | 1848765986320154624 |
|---|---|
| author | Bangash, Romana Khan, Faisal Jabeen, Zohra |
| author_facet | Bangash, Romana Khan, Faisal Jabeen, Zohra |
| author_sort | Bangash, Romana |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | The study inspects the size and liquidity pattern in Pakistan equity market. Sample size contains 278 non-financial firm’s monthly data listed on Pakistan Stock Exchange (PSX) from 2001 to 2012. This study uses three asset pricing models (eq.5), (eq.6) and (eq.7). Four factors asset pricing model estimates that momentum factor is positively and negatively linked with winner and loser stocks, both in size and liquidity patterns. Although it is observed that the presence of size and liquidity does not affect the coefficient results but average value of momentum premium in larger in liquidity than size pattern. Further, the study reveals high average stock returns on momentum strategy in liquidity pattern than size that is 8.05% Vs 6.67%, respectively. Results of this study contradicts Fama & French (2012) who concluded that size pattern in momentum factor outperform the equity market. But this study conclude that liquidity pattern outperforms the size pattern in momentum factor. This study raises the question that should investors and academicians consider size or liquidity pattern in momentum factor for high returns and future research? |
| first_indexed | 2025-11-14T11:43:58Z |
| format | Journal Article |
| id | curtin-20.500.11937-95211 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T11:43:58Z |
| publishDate | 2018 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-952112024-07-03T02:29:17Z Size, Value and Momentum in Pakistan Equity Markets: Size and Liquidity Exposures. Bangash, Romana Khan, Faisal Jabeen, Zohra The study inspects the size and liquidity pattern in Pakistan equity market. Sample size contains 278 non-financial firm’s monthly data listed on Pakistan Stock Exchange (PSX) from 2001 to 2012. This study uses three asset pricing models (eq.5), (eq.6) and (eq.7). Four factors asset pricing model estimates that momentum factor is positively and negatively linked with winner and loser stocks, both in size and liquidity patterns. Although it is observed that the presence of size and liquidity does not affect the coefficient results but average value of momentum premium in larger in liquidity than size pattern. Further, the study reveals high average stock returns on momentum strategy in liquidity pattern than size that is 8.05% Vs 6.67%, respectively. Results of this study contradicts Fama & French (2012) who concluded that size pattern in momentum factor outperform the equity market. But this study conclude that liquidity pattern outperforms the size pattern in momentum factor. This study raises the question that should investors and academicians consider size or liquidity pattern in momentum factor for high returns and future research? 2018 Journal Article http://hdl.handle.net/20.500.11937/95211 10.31703/gssr.2018(III-I).2 English https://www.gssrjournal.com/article/Size-Value-and-Momentum-in-Pakistan-Equity-Market:-Size-and-Liquidity-Exposures http://creativecommons.org/licenses/by-nc/4.0/ fulltext |
| spellingShingle | Bangash, Romana Khan, Faisal Jabeen, Zohra Size, Value and Momentum in Pakistan Equity Markets: Size and Liquidity Exposures. |
| title | Size, Value and Momentum in Pakistan Equity Markets: Size and Liquidity Exposures. |
| title_full | Size, Value and Momentum in Pakistan Equity Markets: Size and Liquidity Exposures. |
| title_fullStr | Size, Value and Momentum in Pakistan Equity Markets: Size and Liquidity Exposures. |
| title_full_unstemmed | Size, Value and Momentum in Pakistan Equity Markets: Size and Liquidity Exposures. |
| title_short | Size, Value and Momentum in Pakistan Equity Markets: Size and Liquidity Exposures. |
| title_sort | size, value and momentum in pakistan equity markets: size and liquidity exposures. |
| url | https://www.gssrjournal.com/article/Size-Value-and-Momentum-in-Pakistan-Equity-Market:-Size-and-Liquidity-Exposures http://hdl.handle.net/20.500.11937/95211 |