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Size, Value and Momentum in Pakistan Equity Market: Size and Liquidity Exposures

Author

Listed:
  • Romana Bangash

    (Assistant Professor, IM Sciences, Peshawar, KP, Pakistan.)

  • Faisal Khan

    (PhD Scholar, IM, Sciences, Peshawar, KP, Pakistan.)

  • Zohra Jabeen

    (Assistant Professor, IM Sciences, Peshawar, KP, Pakistan.)

Abstract

The study inspects the size and liquidity pattern in Pakistan equity market. Sample size contains 278 non-financial firm's monthly data listed on Pakistan Stock Exchange (PSX) from 2001 to 2012. This study uses three asset pricing models (eq.5), (eq.6) and (eq.7). Four factors asset pricing model estimates that momentum factor is positively and negatively linked with winner and loser stocks, both in size and liquidity patterns. Although it is observed that the presence of size and liquidity does not affect the coefficient results but average value of momentum premium in larger in liquidity than size pattern. Further, the study reveals high average stock returns on momentum strategy in liquidity pattern than size that is 8.05% Vs 6.67%, respectively. Results of this study contradicts Fama and French (2012) who concluded that size pattern in momentum factor outperform the equity market. But this study conclude that liquidity pattern outperforms the size pattern in momentum factor. This study raises the question that should investors and academicians consider size or liquidity pattern in momentum factor for high returns and future research?

Suggested Citation

  • Romana Bangash & Faisal Khan & Zohra Jabeen, 2018. "Size, Value and Momentum in Pakistan Equity Market: Size and Liquidity Exposures," Global Social Sciences Review, Humanity Only, vol. 3(1), pages 374-392, March.
    • Handle: RePEc:gss:journl:v:3:y:2018:i:1:p:374-392
    DOI: 10.31703/gssr.2018(III-I).22
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    More about this item

    Keywords

    Size; Liquidity; Momentum premium; Asset pricing model.;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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