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Title Impact of Institutional Ownership and Insider Holding on Stock Return under the Framework of Downside Risk: Empirical Evidence from Pakistan

Author(s) Muhammad Adil

Abstract Thesis Title: Impact of Institutional Ownership and Insider Holding on Stock Returns under the Framework of Downside Risk: Empirical Evidence from Pakistan. This study examines the impact of institutional ownership and insider holding on equity returns under the framework of downside risk and presents a six factor assets pricing model. In addition to existing literature, this study aims to explore non-conventional anomalies in asset pricing domain such as institutional ownership and insider holding which are considered as important aspects of corporate governance and the part of ownership structure, and there is need to identify the impact of such factors on equity returns in Pakistan stock market. D.CAPM of Estrada and value at risk is used in this study to measure the downside risk. The sample size is 160 nonfinancial firms that are registered on the Pakistan stock exchange and data is collected for the period of 2011 to 2017. Multivariate regression, Estrada approach is used for incorporating market premiums (downside risk), size premium, value premium Institutional ownership and insider holding to measure the risk return relationship in Pakistan stock exchange. An analysis of results reveal that market premium (downside beta) in the presence of all other factors i.e SMB, HML, INS, Inisder holing and VAR is found insignificant. On the contrary, Value at risk is somehow significant and positive but partially, not for all portfolios. It enlighten the fact that Pakistan stock market partially pricing the value at risk. Furthermore, size premium is significant positive and institutional ownership also significant positive for most of the portfolios but insider holding is partially priced. Therefore, this six factor model facilitates investors in making valuable decisions about investments and resource allocation in emerging economy like Pakistan. Key words: Downside Risk, D-CAPM, Value at risk, Corporate governance factors

Type Thesis/Dissertation MS

Faculty Management Sciences

Department Management Sciences

Language English

Publication Date 2020-06-01

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