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Title Risk Return Conundrum: International Evidence

Author(s) Bushra Tahira

Abstract Thesis Title: Risk Return Conundrum: International Evidence This study examines the relationship between market premium, size premium, profitability, investment pattern and financial bankruptcy and stock return in Brazil, Russia, India, China and South Africa (BRICS nation) and Pakistan using convenient sampling technique for the period of 2005 to 2017 using multivariate regression analysis for 60 non-financial firms from each stock exchange; Bovespa stock exchange, Moscow stock exchange, Bombay stock exchange, Shanghai stock exchange, Johannesburg stock exchange and Pakistan stock exchange on the basis of market capitalization. This study is an effort to provide an insight by testing the multifactor asset pricing model especially it focuses on financial bankruptcy factor whether it is priced by BRICS and Pakistan economies. Findings reveal that each factor behave differently in each country as market premium found positive significant in the context of Brazil, Russia, India, Pakistan and China. Size premium found relatively positive significant throughout the study. As far the profitability and investment pattern is concerned, inconsistency can be seen in pricing of Profitability factor which is significantly priced only in Russia and South Africa. Investment pattern is partially priced in all countries. Financial bankruptcy is found significant except India and China where it partially influencing the portfolios returns. Moreover, augmented five factor model is found more explanatory in nature as compared to CAPM for all the six countries. So, this augmented five factor model can facilitate the investors in making the financial decisions. Key words: Financial bankruptcy, Asset pricing, F&F Five factor model.

Type Thesis/Dissertation MS

Faculty Management Sciences

Department Management Sciences

Language English

Publication Date 2020-06-01

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