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Title IMPACT OF MULTIFACTOR ASSET PRICING MODEL ON STOCK RETURNS UNDER THE FRAMEWORK OF DOWNSIDE RISK IN PAKISTAN STOCK EXCHANGE

Author(s) Ayesha Liaquat

Abstract This research examined the relationship between portfolio return and multifactor asset pricing model such as downside risk, size, value, profitability, investment and momentum. The data for the companies is collected from website of Pakistan Stock Exchange, Data Stream and Financial reports of the listed companies from the period 2000-2015. Fama-MacBeth (1973) methodology is used to test the hypothesis. Portfolios of returns made for better results. The results show that all factors have insignificant outcomes mostly which lead towards in favor of null hypothesis i.e factors considered having impact on stock returns either positive or negative. The Downside market Risk gives overall insignificant results show their impact on portfolio stocks return. Which means this variable have importance for investors while doing investment. DRM will represent the relationship between risk and expected return in better way. The results of the study for the factor of SMB (small minus big) supported null hypothesis which means the SMB have impact on the portfolio returns. The result showed that small companies outperform big companies. Insignificance of the factor HML supported the null hypothesis that HML has impact on stock portfolio returns. . The finding for CMA is also in the favor of null hypothesis which shows the impact on stock portfolio return. The findings regarding the momentum (WML) factor in this study supported the null hypothesis for all generated pool. The results of profitability (RMW) have insignificant results supported null hypothesis that has impact on portfolio returns.

Type Thesis/Dissertation MS

Faculty Management Sciences

Department Management Sciences

Language English

Publication Date 2019-05-03

Subject Finance

Publisher NUML

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