2016

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Browsing 2016 by Author "Muhammad Jahangir"

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    Estimation of Expected Return
    (UMT,Lahore, 2016) Muhammad Jahangir
    This research study examined the implications of FF three and FF five factor model in Pakistan Stock Exchange. The population data was used from companies having portfolio development with at least 40% trading days of the whole market. A time duration of January 2010 to December 2014 is used in this paper while data was extracted from the annual reports and “Open Doors” for the portfolio development. The data initially was divided into equal weights and value weights and after that it was segregated into daily, weekly and monthly form. There were six and sixteen (weekly equal weight) portfolios which were constructed on the basis of 2*3 sort and 2*2*2*2 sort respectively. Pakistan’s six month T bills data was used for risk free asset and excess return was the dependent variable. The empirical findings of these two models confirmed the idea of FF 3 and FF 5 factor model however FF 5 factor model outperformed the FF 3 factor model. The outcomes approved that every independent factor was important to explain variation in excess returns. The results showed that market, small stocks and value stocks overtook risk free asset, big stocks and growth stocks respectively. In 2*2*2*2 sort every portfolio depicted weak profitability except in SHRC. Though every portfolio was showing weak profitability but in the portfolios of small stocks companies have aggressive investment irrespective to their low profits but big stocks firms have conservative investment behavior. The results of this study were consistent with the findings of previous researchers like (Fama & French, 1992; Mirza, 2008; Rafi, Kazmi, & Hashim, 2014) but did not match with Iqbal and Brooks (2007). Last but not least, the findings of this article would assist to the individual as well as institutional investors and fund managers about their future investment.