THE EMPIRICAL TEST OF FAMAFRENCH FIVEFACTOR MODEL EVIDENCE FROM PAKISTAN STOCK EXCHANGE

http://dx.doi.org/10.31703/gmsr.2020(V-III).04      10.31703/gmsr.2020(V-III).04      Published : Sep 2020
Authored by : Kanwal Haqqani , Wali Rahman

04 Pages : 32-39

References

  • Ali, F., He, R., & Jiang, Y. (2018). Size, value, and business cycle variables. The three-factor model and future economic growth: evidence from an emerging market. Economies, 6(14), 1-24.
  • Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3-18.
  • Barr, R., Reid, K., & Lanstein, R. (1985). Persuasive evidence of market inefficiency. Journal of Portfolio Management, 11(3), 9-17.
  • Black, F., Jensen, M. C., & Scholes, M. (1972). The capital asset pricing model: some empirical tests. Studies in the Theory of Capital Markets, 81(3), 79-121.
  • Blum, M. (1968). The assessment of portfolio performance: an application of portfolio theory. Ph.D. dissertation, University of Chicago
  • Cohen, R. B., Gompers, P. A., & Vuolteenaho, T. (2002). Who underreacts to cash-flow news? Evidence from trading between individuals and institutions. Journal of Financial Economics, 66(2-3), 409-462.
  • Fairfield, P. M., Whisenant, J. S., & Yohn, T. L. (2003). Accrued earnings and growth: implications for future profitability and market mispricing. The Accounting Review, 78(1), 353-371.
  • Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. The Journal of Finance, 47(2), 427-466.
  • Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.
  • Fama, E. F., & French, K. R. (2004). The capital asset pricing model: theory and evidence. Journal of Economic Perspectives, 18(3), 25-46.
  • Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22.
  • Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. The Journal of Political Economy, 81(3), 607-636.
  • Foye, J. (2018). A comprehensive test of the Fama-French five-factor model in emerging markets. Emerging Markets Review, 37, 199-222.
  • Gibbons, M. R. (1982). Multivariate Tests Of Financial Models. Journal of Financial Economics, 10(1), 3-27.
  • Haugen, R. A., & Baker, N. L. (1996). Commonality in the determinants of expected stock returns. Journal of Financial Economics, 41, 401-439.
  • Iqbal, N., Khattak, S. R., Khattak, M. A., & Ullah, I. (2012). Testing Arbitrage Pricing Theory on Karachi Stock Exchange. Interdisciplinary Journal of Contemporary Research in Business, 4(8), 839-853.
  • Lin, Q. (2017). Noisy prices and the Fama-French five-factor asset pricing model in China. Emerging Markets Review, 31(2016), 141-163.
  • Linter, J. (1965). Security prices, risk, and maximal gains from diversification. Journal of Finance, 20(4), 587-615.
  • Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91.
  • Merton, R. C. (1973). An Intertemporal Capital Asset Pricing Model. Journal of the Econometric Society, 41(5), 867-887.
  • Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica: Journal of the Econometric Society, 34(4), 768-783.
  • Novy-marx, R. (2013). The other side of value: the gross profitability premium. Journal of Financial Economics, 108(1), 1-28.
  • Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360.
  • Sharpe, W. F. (1964). Capital asset prices: a theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442.
  • Singh, A. (1997). Stock market, financial liberalization and economic development. Economic Journal, 107(442), 771-782.
  • Titman, S., Wei, K. C. J., & Xie, F. (2004). Capital investments ans stock returns. Jounal of Financial and Quantitative Analysis, 39, 677-700.
  • Yartey, C. A., & Adjasi, C. K. D. (2007). Stock market development in sub-saharan Africa: critical issues and challenges (Washington D.C: International Monetary Fund Working Paper Series WP/07/209).

References

  • Ali, F., He, R., & Jiang, Y. (2018). Size, value, and business cycle variables. The three-factor model and future economic growth: evidence from an emerging market. Economies, 6(14), 1-24.
  • Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3-18.
  • Barr, R., Reid, K., & Lanstein, R. (1985). Persuasive evidence of market inefficiency. Journal of Portfolio Management, 11(3), 9-17.
  • Black, F., Jensen, M. C., & Scholes, M. (1972). The capital asset pricing model: some empirical tests. Studies in the Theory of Capital Markets, 81(3), 79-121.
  • Blum, M. (1968). The assessment of portfolio performance: an application of portfolio theory. Ph.D. dissertation, University of Chicago
  • Cohen, R. B., Gompers, P. A., & Vuolteenaho, T. (2002). Who underreacts to cash-flow news? Evidence from trading between individuals and institutions. Journal of Financial Economics, 66(2-3), 409-462.
  • Fairfield, P. M., Whisenant, J. S., & Yohn, T. L. (2003). Accrued earnings and growth: implications for future profitability and market mispricing. The Accounting Review, 78(1), 353-371.
  • Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. The Journal of Finance, 47(2), 427-466.
  • Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.
  • Fama, E. F., & French, K. R. (2004). The capital asset pricing model: theory and evidence. Journal of Economic Perspectives, 18(3), 25-46.
  • Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22.
  • Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. The Journal of Political Economy, 81(3), 607-636.
  • Foye, J. (2018). A comprehensive test of the Fama-French five-factor model in emerging markets. Emerging Markets Review, 37, 199-222.
  • Gibbons, M. R. (1982). Multivariate Tests Of Financial Models. Journal of Financial Economics, 10(1), 3-27.
  • Haugen, R. A., & Baker, N. L. (1996). Commonality in the determinants of expected stock returns. Journal of Financial Economics, 41, 401-439.
  • Iqbal, N., Khattak, S. R., Khattak, M. A., & Ullah, I. (2012). Testing Arbitrage Pricing Theory on Karachi Stock Exchange. Interdisciplinary Journal of Contemporary Research in Business, 4(8), 839-853.
  • Lin, Q. (2017). Noisy prices and the Fama-French five-factor asset pricing model in China. Emerging Markets Review, 31(2016), 141-163.
  • Linter, J. (1965). Security prices, risk, and maximal gains from diversification. Journal of Finance, 20(4), 587-615.
  • Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91.
  • Merton, R. C. (1973). An Intertemporal Capital Asset Pricing Model. Journal of the Econometric Society, 41(5), 867-887.
  • Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica: Journal of the Econometric Society, 34(4), 768-783.
  • Novy-marx, R. (2013). The other side of value: the gross profitability premium. Journal of Financial Economics, 108(1), 1-28.
  • Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360.
  • Sharpe, W. F. (1964). Capital asset prices: a theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442.
  • Singh, A. (1997). Stock market, financial liberalization and economic development. Economic Journal, 107(442), 771-782.
  • Titman, S., Wei, K. C. J., & Xie, F. (2004). Capital investments ans stock returns. Jounal of Financial and Quantitative Analysis, 39, 677-700.
  • Yartey, C. A., & Adjasi, C. K. D. (2007). Stock market development in sub-saharan Africa: critical issues and challenges (Washington D.C: International Monetary Fund Working Paper Series WP/07/209).

Cite this article

APA

    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

CHICAGO

    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

HARVARD

    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.

MHRA

    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

MLA

    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.

OXFORD

    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

TURABIAN

    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