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Item HABITAT RETURNS AND MOMENTUM TO EXPLAIN THE CROSS-SECTION OF STOCKS RETURN(UMT.Lahore, 2020) FAIZA TAHIRIn 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.Item DO BANKS RISK MANAGEMENT PRACTICES AFFECT EARNINGS AND STOCKS VOLATILITY IN EMERGING ECONOMIES?(UMT.Lahore, 2019) Saliha TabaassumItem ANALYZING THE FINANCIAL SOUNDNESS OF THE COMMERCIAL BANKS IN PAKISTAN(UMT.Lahore, 2020) Faiza AshrafThe performance and assessment of soundness in the banking sector is vital for the capital growth and betterment of any economy, hence, it cannot be negated that how critical it is in the economic condition at present. Keeping this in mind, this research is focused on investigating the effect of various parameters on the performance of commercial banks of Pakistan using the CAMEL framework over the period 2006 to 2018. A sample of 20 banks that operate commercially is used for conducting the study. Bank performance (ROA) is taken as dependent variable whereas CAMEL rating model parameters are used as independent variables. After studying and analyzing the financial statements from selected banks, the ratios are calculated. It is found that earnings quality stood out as the highly significant factor that impacts the performance of banks in Pakistan. Assets quality and management efficiencies are impacting the performance of banks significantly. However, capital adequacy ratio and liquidity are found to be the insignificant factor of the CAMEL model that has an impact on the performance of banks in Pakistan. Thus, the banks must ensure good loan quality because it has a negative influence on performance and that the management of Pakistani banks must be well resourced to be efficient.Item Impact of Innovation and Advertising on Stock Returns(UMT.Lahore, 2020-03-09) Muhammad Umar MunirExpenditures on R&D activities couple with effective communication to relevant stakeholders in the form of advertising should result in positive stock returns. Every company plans its innovative and advertising activities according to their available resources and size of business operations. This paper explores the relationship between stock returns and expenditures in R&D and advertising over the period of 6 years for around 80 innovative companies around the globe. These companies were selected by the list issued by Forbes as being top innovative companies reported in 2018. The conclusions are very much aligned with previous studies that innovation positively and significantly affect stock returns under overall analysis. In addition, this relationship becomes even more stronger and significant when added with advertisement expenses. If we segregated this overall analysis into goods and services sectors, results for goods companies coincided with that of overall; for service companies, innovation affects performance but their relationship is statistically insignificant.Item Predicting Corporate Financial distress using logit model, a case of selected non financial firms in Pakista(UMT.Lahore, 2020) ABDULLAH M. ASHRAF BAJWAState Bank of Pakistan in its different communications instructed lenders to evaluate them borrowers in different dimensions. One of the major borrower assessments is to estimate probability of default based on borrower’s financial strength. Basel Committee for International Banking Supervision proposed two approaches for minimum capital requirements namely foundation F-IRB (Foundation Internal Rating Based) and AIRB (Advanced IRB) approach. In foundation –IRB (F-IRB) approach a single component i.e. Probability of Default is internally estimated while in Advanced –IRB approach, banks have to internally estimate the Exposure at Default (EAD) and Loss given Default (LGD). All non-financial corporates of Pakistan were included in the population of the study. Companies from different sectors like textile, sugar, food and allied, chemicals etc. were in the population. Their financial statements are available on SBP website or PSX website. As research aim to derive a predictive model; population is divided into two categories based on their default status (defaulted and non-defaulted). Final study sample consisted of 304 nondefault and 54 default companies. Financial statements data from financial year 2012 to 2017 were collected from State Bank’s financial statement study document. 27 ratios from solvency, cash flow, liquidity, profitability, and valuation category were computed, and binary logistic regression model was applied. Final model was fitted on one cash flow, three liquidity, one profitability and two solvency ratios. Probability of default of each case in the data set was computed, and it was found that Average probability of default for non-defaulted firms is 1.22% while it is 62.65% for defaulted firms. Any bank which is lending to corporate customers can adopt this model for their probability of default estimation under SBP and Basel guidelines.Item Corporate governance and idiosyncratic risk(2020) Khurram ShahzadItem The Mediating role of management control system in the relation between corporate governance, corporate social responsibility and firm performance(UMT.Lahore, 2020-04) Waqas AhmedThe purpose of this study is to examine the mediating role of management control system in the relationship between corporate governance, corporate social responsibility and firm performance. There have sample of 216 respondent who are top-level manager from PSX 100 index non financial firms. The study used structure equation modelling to test hypothesis especially smart PLS. The finding of the study reveals that management control system mediate the relationship between corporate governance, corporate social responsibility with firm performance. There has also direct relationship found between corporate governance and firm performance, corporate social responsibility and firm performance. In addition, when the firm maintain and control of management control system to enhance firm corporate governance and corporate social responsibility to gain optimal firm performance.Item DETERMINANTS OF MATURITY TRANSFORMATION RISK (NSFR)(UMT.Lahore, 2019) Afreen MalikMaturity transformation risk has been considered as major threat for financial sector particularly banking industry since the global crisis of 2007-2008. To overcome this risk that emerges from transformation characteristic of banks Basel III made them subject to new liquidity regulations. The initial version of these regulations was Liquidity Coverage Ratio, that ensure short term resilience, later on another measure was introduced called as net stable funding ratio (NSFR), the purpose of this is to make the banks stable enough that they can experience withstand liquidity tremors through medium as well as long-term resilience. It is the responsibility of central bank of a country to get the Basel regulations implemented on the banks it supervises. We used data of 23 banks, out of which 19 are conventional banks and 4 are fully Islamic banks from the year 2010 to 2018. Effect of some bank specific and macroeconomic factors on maturity transformation risk of these banks have been analyzed in this study. We have used 2 step system GMM technique on our data set and found out that bank diversification, bank specialization, bank efficiency and return on assets as significant bank specific factors while GDP% has been found as macroeconomic significant factor. While credit risk have been found insignificant to maturity transformation risk.Item The Impact of Financial Inclusion on the Economic Growth of Pakistan(UMT.Lahore, 2020-03) Najeeb UllahIn the study it is aimed to find the relationship of financial inclusion and economic growth, and its impacts. Financial inclusion is the public access to the financial services that are affordably available as, M-banking, point of Sale, internet banking etc. For the purpose, the data collected for the period of 10 years from 2008 to 2017; the first source is bank annual reports and the second source is the State Bank of Pakistan (annual bulletins). The time duration was selected after checking the availability of data of relevant variables. The study is quantitative in nature and mainly focuses on the Islamic banking industry which is the population of the study. The study sample comprises of 4 full fledge Islamic banks functioning in Pakistan and along with conventional banks Islamic windows. Statistical package for social sciences (SPSS) used as a statistical tool for analysis. In the framework the economic growth is the dependent variable while financial inclusion is an independent variable. For the financial inclusion in the light of past literature we selected the indicators as; bank branches, deposits of the banks, remittances through banks and financing to the SMEs. The results after analysis show significant impact of financial inclusion on the economic growthItem Earnings Management and Corporate Governance(UMT.Lahore, 2020) AZKA NAWAZThis study investigates the effect of disclosure quality and corporate governance mechanism on earnings management in ASEAN countries. The sample was taken from Indonesia, Malaysia, Singapore, and Thailand. Data was collected from annual reports. The sample size was the top fifty non-financial companies from each country based on board structure from 2013-2017. The study provides evidence that two board structures are different in terms of earnings management. The results reveal a significant effect of disclosure quality on earnings management. This study shows that disclosure quality and good corporate governance can reduce earnings management manipulation. The results are expected to contribute significantly to the existing knowledge on the concentrated ownership among companies on corporate governance, disclosure quality, and earnings management. Finding of this study offer implication to management who are interested in the improvement of corporate governance practices and limiting poor earnings management practices.Item DOES FOREIGN INSTITUTIONAL OWNERSHIP AFFECT ON VOLATILITY IN PAKSITAN STOCK MARKET?(UMT.Lahore, 2020) Maaz Bin ZiaWith the expanding presence of foreign investments (FI) and their significance in the stock markets (SM), the examination researches the effect of foreign institutional investments (FII) on firm-level volatility daily returns (VDR) in Pakistan, utilizing information of 100 firms recorded on the Pakistan SM (PSM) for the period from 2011 to 2017. Information of organizations recorded on stock trade and is a part of KSE 100 list 2016 is utilized. Furthermore, the change from a planned economy to a market economy has effectively expanded the fascination of FI in Pakistan. It is contended that possession by FI decreases VDR in developing nations that inconsequential reason a downtrend in VDR or even crisis of economy and financially. The outcomes show that FI is contrarily related with VDR during the entire sample time frame. Be that as it may, the negative connection among FII and VDR isn't noteworthy. In addition, the investigation has revealed insight into the potential reasons causing a positive effect on VDR by FII and its unimportance one next to the other. Extant literature explains global financial crisis (GFC), recession of domestic country, size of FII, good corporate governance, adequate regulation, etc. as logics for the relation being negative and insignificantItem INFLUENCE OF CORPORATE BOARD DIVERSITY ON CORPORATE RISK: EVIDENCE FROM PAKISTAN(UMT.Lahore, 2020) Kiran ShahzadiThe main purpose of the research is to identify the influence of the corporate board diversity on the corporate risk taking. The board diversity is measured through the two different variables that are task-oriented diversity and relation-oriented diversity. Task oriented diversityis related to the tenure and education and relation oriented is linked to the age and gender. The study has considered the case of Pakistan to study this aspect. The quantitative approach has been applied to thisresearch by using the secondary data. 100 Pakistani listed companies have been selected for the period of 2015 to 2019 on the base of market capitalization. The results have been estimated using GLS panel regression due to the presence of heteroscedasticity and serial autocorrelation. The finding of the study has revealed that age, gender and education tends to have significant and positive association with the corporate risk while tenure has insignificant relationship with the corporate risk.Item HUMAN CAPITAL DEVELOPMENT IN ISLAMIC BANKING SECTOR OF PAKISTAN(UMT.Lahore, 2020-01-10) Hafiz Usama KhalidHuman capital has been becoming one of the strategic issues of the Islamic banking industry in Pakistan. The quality of the human capital talent pool is a vital factor for national development and Islamic banking sector performance. Besides, it is also the key to attracting investment opportunities. Thus, the aim of this research is to examine the role of human capital skills in the organizational performance of the Islamic banking sector of Pakistan through the mediating role of social capital. Primary data is taken from senior managers, bankers, investors, and other Shariah scholars of the Islamic banks with the help of a questionnaire to achieve the research objectives. Human capital is measured with career development, skills and knowledge, and training and development. The study finds that human capital has a statistically significant impact on the Islamic banks performance. Furthermore, the study confirms that social capital only mediates the relationship between skills and knowledge and Islamic banks performance. The framework developed in this study is a major contribution towards current practices and challenges in the field of human capital and social capital which affects the performance of Islamic banks in Pakistan.Item INDUSTRY MOMENTUM IMPROVE THE PORTFOLIO PERFORMANCE AN NANLYSIS OF PAKISTAN STOCK EXCHANGE(UMT.Lahore, 2020) BUSHRA MASOODThis thesis proposes a parametric portfolio policy that uses industry return momentum to improve portfolio performance in the Pakistan stock exchange during the period 2010- 2018 by using Markowitz's minimum- variance framework. Using daily excess return, we first examine the impact of industry momentum on the portfolio performance by comparing it traditional MPV and naïve strategy then we check which strategy performs better. Finally, the findings of the study suggest that industry momentum does not perform better as compared to other strategies. Moreover, the traditional minimum variance portfolio performs better in PSX.Item A Clustering Method for Portfolio Optimization The Case of Pakistan Stock Exchange(UMT.Lahore, 2020) Rafia Ghulam AliExtantevidence shows that clustering analysis can improve portfolio selection and performance. This study aims to improve portfolio performance using K-means clustering technique in Pakistan Stock Exchange (PSX). For this purpose, using daily return for the period of January 2010 to December 2018, the study develops three stock clusters based on Firm Size, Return on Equity and Return on Assets. The findings reveal that the clustering technique out performs naïve portfolio strategies in traditional Markowitz mean-variance framework.Item Relationship of Stock Liquidity, Dividend Pay-Outs and Ownership Concentration with Crash Risk in Stock Price(UMT.Lahore, 2020) Shahbaz AhmadThe purpose of the study is to identify the factors that cause the stock price to crash. According to governance theory, stock liquidity decreases the chances of bad news releases to accumulate due to strong and active monitoring by the controlling/ block shareholders. And according to agency conflicts two the controlling shareholders with high ownership concentration take benefit by moulding the management decision as per their personal benefits due to which minority shareholder’s business interest gets hurt. By using the data from Pakistani firms, study concluded that stock liquidity encourages managers not to hoard bad news because of the of active monitoring of management by the controlling shareholders or shareholders with high ownership concentration, ultimately decreasing the likelihood of stock prices to crash, which is in align with the governance theory. In contrast, dividend payment shows positive effect on crash risk in stock prices which in align with the principle to principles agency conflicts whereby the shareholders with high ownership concentration expropriate the firm’s resources though tunneling via channel of higher dividend payouts due to their higher influence of voting power rights and therefore increase the crash risk in stock prices.