Comparison of Market, Size and Value Premium of Random Samples in KSE and Non KSE 100 Companies
This study is directed towards the identification of key risk variables that explains the variations in expected stocks’ returns and gives rise to Risk Premium for taking an extra riskin addition to the opportunity cost of risk free rate incorporated in stocks’ returns. For this purpose, monthly returns of 37 companies (randomly 20 samples selected from KSE and non KSE-100 each) listed on the Karachi Stock Exchange were calculated for a period covering six years from January 2008 up till December 2013. The excess return (portfolio return minus risk-free rate) on these 37 companies is sorted in six size and value portfolios. KSE 100 Index was used as a proxy for benchmark Index, and six months T-bills’ yield was used as a proxy for the risk-free rate. Regression results strongly evidenced size and value premium as factors explaining the variations in expected returns for the multi factor model. The variation explained by these factors found more in non KSE-100 than KSE. This study strongly supported two factors (SMB
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Equity Risk Premium, Market Risk Premium, Size Premium, Value Premium, KSE 100 Index
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(1) Muhammad Ammad
MBA, Institute of Business and Leadership, Abdul Wali Khan University Mardan, KP, Pakistan
(2) Muhammad Sohail Alam Khan
Lecturer, Department of Economics, Faculty of Business % Economics, Abdul Wali Khan University Mardan, KP, Pakistan
(3) Brekhana Gul
Lecturer, Department of Economics, Faculty of Business % Economics, Abdul Wali Khan University Mardan, KP, Pakistan.
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Cite this article
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APA : Ammad, M., Khan, M. S. A., & Gul, B. (2020). Comparison of Market, Size and Value Premium of Random Samples in KSE and Non KSE 100 Companies. Global Management Sciences Review, V(III), 146-154. https://doi.org/10.31703/gmsr.2020(V-III).16
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CHICAGO : Ammad, Muhammad, Muhammad Sohail Alam Khan, and Brekhana Gul. 2020. "Comparison of Market, Size and Value Premium of Random Samples in KSE and Non KSE 100 Companies." Global Management Sciences Review, V (III): 146-154 doi: 10.31703/gmsr.2020(V-III).16
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HARVARD : AMMAD, M., KHAN, M. S. A. & GUL, B. 2020. Comparison of Market, Size and Value Premium of Random Samples in KSE and Non KSE 100 Companies. Global Management Sciences Review, V, 146-154.
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MHRA : Ammad, Muhammad, Muhammad Sohail Alam Khan, and Brekhana Gul. 2020. "Comparison of Market, Size and Value Premium of Random Samples in KSE and Non KSE 100 Companies." Global Management Sciences Review, V: 146-154
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MLA : Ammad, Muhammad, Muhammad Sohail Alam Khan, and Brekhana Gul. "Comparison of Market, Size and Value Premium of Random Samples in KSE and Non KSE 100 Companies." Global Management Sciences Review, V.III (2020): 146-154 Print.
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OXFORD : Ammad, Muhammad, Khan, Muhammad Sohail Alam, and Gul, Brekhana (2020), "Comparison of Market, Size and Value Premium of Random Samples in KSE and Non KSE 100 Companies", Global Management Sciences Review, V (III), 146-154
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TURABIAN : Ammad, Muhammad, Muhammad Sohail Alam Khan, and Brekhana Gul. "Comparison of Market, Size and Value Premium of Random Samples in KSE and Non KSE 100 Companies." Global Management Sciences Review V, no. III (2020): 146-154. https://doi.org/10.31703/gmsr.2020(V-III).16