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Title IMPACT OF QUALITY OF FINANCIAL REPORTING ON EQUITY RETURNS: A CASE OF PAKISTAN AND CHINA

Author(s) Natasha Anam

Abstract Thesis Title: Impact of Quality of Financial Reporting on Equity Returns: A Case of Pakistan and China This study examines the relationship between market premium, size premium, quality of financial reporting premium and stock returns in Pakistani, and Chinese equity market for the period of June 2011 to June 2017 by using Fama and French (1992, 1993) methodology. This is the first study in these Asian emerging markets i.e Pakistan, and China that explores the relationship among stated variables in combined form by employing a sample of 36 companies from each stock exchange i.e Pakistan Stock Exchange, and Shenzhen Stock Exchange on the basis of market capitalization. Moreover, quality of financial reporting variable is measured through Barth, Cram and Nelson (2001) method. An analysis of the results reveals that there is some difference in Pakistani and Chinese market with reference to asset pricing. Market premium has significant positive impact on equity returns in all Pakistan in most of the portfolios but in China its insignificant. Inconsistency is observed in case of size premium in case of China. But, for Pakitan, size premium has shown different results. However, quality of financial reporting premium is found significant and positive in Pakistan stock exchange and insignificant in most of the portfolios of China stock exchange. So, this quality of financial reporting based asset pricing model can facilitate investors in making stylized portfolios and also helpful in making resource allocation decisions. Therefore, it can be hypothesized that quality of financial reporting premium has also positive and significant impact on equity returns in Pakistan and China. Keywords: Financial reporting quality, asset pricing, BCN (2001)

Type Thesis/Dissertation MS

Faculty Management Sciences

Department Management Sciences

Language English

Publication Date 2019-10-08

Subject Finance

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