2020

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HABITAT RETURNS AND MOMENTUM TO EXPLAIN THE CROSS-SECTION OF STOCKS RETURN
(UMT.Lahore, 2020) FAIZA TAHIR
In this paper, we find strong empirical evidence that stocks are connected by common ownership. Based on the observation, we are proposing a new strategy – dubbed “Habitat return and momentum” and show for Karachi stock exchange data from the period 2010–2018. GMM regression is used due to the nature of the data. Results show a significant relationship between the variables. Our study explained that stock with common owners have more correlated returns than industry. By adding ownership (lagged) and industry (lagged) the industry returns also performed well, but momentum and reversal do not perform in KSE100 in any case.