The Empirical Test of Fama-French Five-Factor Model: Evidence from Pakistan Stock Exchange
This study provides an empirical examination of the Fama and French five-factor asset pricing model (FF5FM) in the equity market of Pakistan. Using data from 2007 to 2017of non-financial firms listed on PSX. The univariate approach is used to construct the dependent portfolios based on four firms characteristics, while a 2x3 approach is used to construct size, value, profitability, and investment factors. Time series regression is used to analyze the data to obtained results. The empirical evidence demonstrates that FF5FM performs better the three-factor model in the Pakistan stock market and the performance of the four-factor model that drops investment factor is similar to FF5FM except for portfolios constructed based on investment factor.
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PSX, Size, Value, Profitability, Investment, Five-Factor Model
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(1) Kanwal Haqqani
PhD Scholar, Sarhad University of Science & Information Technology, Peshawar, KP, Pakistan.
(2) Wali Rahman
Associate Professor, Sarhad University of Science & Information Technology, Peshawar, KP, Pakistan.
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Cite this article
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APA : Haqqani, K., & Rahman, W. (2020). The Empirical Test of Fama-French Five-Factor Model: Evidence from Pakistan Stock Exchange. Global Management Sciences Review, V(III), 32-39. https://doi.org/10.31703/gmsr.2020(V-III).04
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CHICAGO : Haqqani, Kanwal, and Wali Rahman. 2020. "The Empirical Test of Fama-French Five-Factor Model: Evidence from Pakistan Stock Exchange." Global Management Sciences Review, V (III): 32-39 doi: 10.31703/gmsr.2020(V-III).04
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HARVARD : HAQQANI, K. & RAHMAN, W. 2020. The Empirical Test of Fama-French Five-Factor Model: Evidence from Pakistan Stock Exchange. Global Management Sciences Review, V, 32-39.
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MHRA : Haqqani, Kanwal, and Wali Rahman. 2020. "The Empirical Test of Fama-French Five-Factor Model: Evidence from Pakistan Stock Exchange." Global Management Sciences Review, V: 32-39
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MLA : Haqqani, Kanwal, and Wali Rahman. "The Empirical Test of Fama-French Five-Factor Model: Evidence from Pakistan Stock Exchange." Global Management Sciences Review, V.III (2020): 32-39 Print.
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OXFORD : Haqqani, Kanwal and Rahman, Wali (2020), "The Empirical Test of Fama-French Five-Factor Model: Evidence from Pakistan Stock Exchange", Global Management Sciences Review, V (III), 32-39
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TURABIAN : Haqqani, Kanwal, and Wali Rahman. "The Empirical Test of Fama-French Five-Factor Model: Evidence from Pakistan Stock Exchange." Global Management Sciences Review V, no. III (2020): 32-39. https://doi.org/10.31703/gmsr.2020(V-III).04