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| Title | Abstract | Action(s) |
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| Risk Return Conundrum: International Evidence | 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. |
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| Impact of Risk Management Practices on Stock Returns: Evidence from Pakistani and Chinese Banks | This study examines the impact of Risk Management Practices (Size Premium,Value Premium, Market Premium, Liquidity Premium, Credit Risk Premium, Capital Adequacy Ratio and Operational Risk) on equity returns by applying fama and French augmented seven factor model. In addition to literature, this study aims to explore non-conventional anomalies in asset pricing domain such as Liquidity Premium, Credit Risk Premium, Capital Adequacy Ratio and Operational Risk are considered as important aspects of Risk Management Practices and there is need to identify the impact of such factors on equity returns in banking sector of Pakistan and China. The sample size is 24 banks of Pakistan and 16 banks of China due to data availability and data for the period of 2008 to 2017. Multivariate regression is used by incorporating market premiums, size premium, value premium, Liquidity premium, Credit risk premium, Capital adequacy ratio and Operational Risk to measure the risk return relationship in Pakistan’s banks and Chinese banks. An analysis of results reveal that all the factors i.e NPL, CAR, HML are found insignificant for Pakistan except size premium and liquidity premium and operational risk premium which are partially contributing for some portfolios. On the contrary, for China HML, NPL and MKT and CAR is some how significant and positive but partially, not for all portfolios. It enlighten the fact that Chinese banks partially pricing more factors than Pakistan’s banks. Therefore, this seven factor model facilitates investors in making valuable decisions about investments and resource allocation in emerging economy like Pakistan and China. Keywords: CAPM; Value effect; Liquidity premium; Credit risk premium; Operational risk; Capital adequacy ratio; Multivariate regression |
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| Impact of Risk Management Practices on Stock Returns: Evidence from Pakistani and Chinese Banks | This study examines the impact of Risk Management Practices (Size Premium,Value Premium, Market Premium, Liquidity Premium, Credit Risk Premium, Capital Adequacy Ratio and Operational Risk) on equity returns by applying fama and French augmented seven factor model. In addition to literature, this study aims to explore non-conventional anomalies in asset pricing domain such as Liquidity Premium, Credit Risk Premium, Capital Adequacy Ratio and Operational Risk are considered as important aspects of Risk Management Practices and there is need to identify the impact of such factors on equity returns in banking sector of Pakistan and China. The sample size is 24 banks of Pakistan and 16 banks of China due to data availability and data for the period of 2008 to 2017. Multivariate regression is used by incorporating market premiums, size premium, value premium, Liquidity premium, Credit risk premium, Capital adequacy ratio and Operational Risk to measure the risk return relationship in Pakistan’s banks and Chinese banks. An analysis of results reveal that all the factors i.e NPL, CAR, HML are found insignificant for Pakistan except size premium and liquidity premium and operational risk premium which are partially contributing for some portfolios. On the contrary, for China HML, NPL and MKT and CAR is some how significant and positive but partially, not for all portfolios. It enlighten the fact that Chinese banks partially pricing more factors than Pakistan’s banks. Therefore, this seven factor model facilitates investors in making valuable decisions about investments and resource allocation in emerging economy like Pakistan and China. Keywords: CAPM; Value effect; Liquidity premium; Credit risk premium; Operational risk; Capital adequacy ratio; Multivariate regression |
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| Effect of Manager's Perceived Leadership Style on Employee's Creativity: A Mediation Role of Social Capital | Thesis Title: Effect of Manager’s Perceived Leadership Style on Employee’s Creativity: A Mediation Role of Social Capital This study examines the impact of leadership styles on employee’s creativity in the presence of social capital. The three leadership styles have marked as independent variable, while social capital and employee’s creativity marked as mediated and dependent variables respectively. A self-administrative questionnaire was distributed to the managers in the textile sector of Faisalabad. The sample size of present study is 300 in which 270 are the respondents. Convenience sampling technique has been used. To test the hypothesis, we use to analysis by two separate statistical techniques 1st is Barron & Kenny and 2nd is Structural Equation Modeling (SEM). According the results of first technique, social capital, supportive leadership style and instrumental leadership style are significantly impact on employee’s creativity, but Participative Leadership Style has insignificant effect on Employee’s Creativity. There is no mediation between instrumental leadership style and employee’s creativity as well as there is no mediation between supportive leadership style and employee’s creativity, likewise there is no mediation between participative leadership style and employee’s creativity. According the results of second technique supportive leadership style has significant effect on employee’s creativity in the presence of social capital, and participative leadership style and instrumental leadership style are insignificant effect on employee’s creativity in the presence of social capital. Keywords: Participative Leadership Style, Supportive Leadership Style, Instrumental Leadership Style, Social Capital, Employee’s Creativity. |
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| Impact of Foreign Direct Investment and Financial Development on Human Welfare: An Empirical Investigation for South Asian Countries |
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| Impact of Foreign Direct Investment and Financial Development on Human Welfare: An Empirical Investigation for South Asian Countries |
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| IMPACT OF FINANCIAL REPORTING QUALITY ON INVESTMENT EFFECIENCY (A CASE STUDY OF CEMENT SECTOR OF PAKISTAN) | ABSTRACT Title: Effect of Financial Reporting Quality on Investment Efficiency: A case study of cement sector of Pakistan. This study examines the effect of financial reporting quality on investment efficiency on the Cement sector firms in Pakistan. The Cement sector companies listed at Pakistan Stock Exchange were taken as population of the study. Since the total number of companies of Cement Sector is 22, therefore, the population of data has been taken as the sample for this research. Investment efficiency was taken as dependent variable whereas financial reporting quality used as independent variable and return on assets, annual cash holding and assets tangibility taken as control variables. Panel data were used to examine the relationship of financial reporting quality with investment efficiency. The findings of this study indicated: 1) Investigations reveal that there is positive significant relationship between financial reporting quality and investment efficiency 2) Financial reporting quality can enhance investment efficiency with regard to two ways: reducing asymmetry of information between the investors and company, and therefore, reducing the financing costs, and reducing asymmetries of information between managers and investors, and therefore, reducing the monitoring costs and enhancing project selection. Keywords: Financial Reporting Quality, Investment Efficiency, Return on Assets, Cash Holding, Assets Tangibility. |
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| THE RELATIONSHIP BETWEEN IDIOSYNCRATIC RISK AND RETURN IN PAKISTAN STOCK MARKET BY EMPLOYING QUANTILE REGRESSION ON THE BASIS OF PROSPECT THEORY | The idiosyncratic risk and stock return relationship had been debated across decades, this study reexamined this relation by applying the Quantile Regression Approach along with the prospect theory (which was given by Kahneman & Tversky in 1979) in Pakistani Stock market. The quantile regression approach permits the estimates of idiosyncratic risk to fluctuate over the entire distribution of the stock returns i.e., dependent variable. The standard deviation of regression residuals of Fama and French three factor model has been taken to measure Idiosyncratic risk in this study. Convenient sampling is used; sample includes 82 firms enlisted on KSE-100 index: 820 yearly observations from 82 firms for 10 years from 2008 to 2017. The Quantile Regression estimation results illustrates that idiosyncratic risk is positively associated with stock returns and this relationship is conditional with rise or fall in prices. The finding is consistent with the notion that stock investors lean towards avoiding risk when they face loss while when there is profit, they are more willing to seek risks, which is consistent with the prospect theory. The results of the Ordinary Least Square and LAD (Least sum of Absolute Deviation) regressions demonstrate that the method commonly used in previous researches do not describe the relationship between idiosyncratic risk and stock return at extreme points or over the entire distribution of stock return. Thus, these empirical results offer new insight into the relationship between idiosyncratic risk and stock return in the literature of Pakistani Stock Market. |
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| THE RELATIONSHIP BETWEEN IDIOSYNCRATIC RISK AND RETURN IN PAKISTAN STOCK MARKET BY EMPLOYING QUANTILE REGRESSION ON THE BASIS OF PROSPECT THEORY | The idiosyncratic risk and stock return relationship had been debated across decades, this study reexamined this relation by applying the Quantile Regression Approach along with the prospect theory (which was given by Kahneman & Tversky in 1979) in Pakistani Stock market. The quantile regression approach permits the estimates of idiosyncratic risk to fluctuate over the entire distribution of the stock returns i.e., dependent variable. The standard deviation of regression residuals of Fama and French three factor model has been taken to measure Idiosyncratic risk in this study. Convenient sampling is used; sample includes 82 firms enlisted on KSE-100 index: 820 yearly observations from 82 firms for 10 years from 2008 to 2017. The Quantile Regression estimation results illustrates that idiosyncratic risk is positively associated with stock returns and this relationship is conditional with rise or fall in prices. The finding is consistent with the notion that stock investors lean towards avoiding risk when they face loss while when there is profit, they are more willing to seek risks, which is consistent with the prospect theory. The results of the Ordinary Least Square and LAD (Least sum of Absolute Deviation) regressions demonstrate that the method commonly used in previous researches do not describe the relationship between idiosyncratic risk and stock return at extreme points or over the entire distribution of stock return. Thus, these empirical results offer new insight into the relationship between idiosyncratic risk and stock return in the literature of Pakistani Stock Market. |
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| THE RELATIONSHIP BETWEEN IDIOSYNCRATIC RISK AND RETURN IN PAKISTAN STOCK MARKET BY EMPLOYING QUANTILE REGRESSION ON THE BASIS OF PROSPECT THEORY | The idiosyncratic risk and stock return relationship had been debated across decades, this study reexamined this relation by applying the Quantile Regression Approach along with the prospect theory (which was given by Kahneman & Tversky in 1979) in Pakistani Stock market. The quantile regression approach permits the estimates of idiosyncratic risk to fluctuate over the entire distribution of the stock returns i.e., dependent variable. The standard deviation of regression residuals of Fama and French three factor model has been taken to measure Idiosyncratic risk in this study. Convenient sampling is used; sample includes 82 firms enlisted on KSE-100 index: 820 yearly observations from 82 firms for 10 years from 2008 to 2017. The Quantile Regression estimation results illustrates that idiosyncratic risk is positively associated with stock returns and this relationship is conditional with rise or fall in prices. The finding is consistent with the notion that stock investors lean towards avoiding risk when they face loss while when there is profit, they are more willing to seek risks, which is consistent with the prospect theory. The results of the Ordinary Least Square and LAD (Least sum of Absolute Deviation) regressions demonstrate that the method commonly used in previous researches do not describe the relationship between idiosyncratic risk and stock return at extreme points or over the entire distribution of stock return. Thus, these empirical results offer new insight into the relationship between idiosyncratic risk and stock return in the literature of Pakistani Stock Market. |
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| Spillover Effects of Local and Foreign Currency on Cross-Listed IPOs; Evidence from Alternative Investment Market (AIM) |
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| DYNAMIC CAPABILITY & FIRM PERFORMANCE: A CASE STUDY OF SMEs OF PAKISTAN |
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| Spillover Effect of US and Chinese Monetary Policy on Emerging Markets |
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| Spillover Effect of US and Chinese Monetary Policy on Emerging Markets |
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