Abstract

This study examines the empirical evaluation of the six-factor asset pricing model that augments the Fama-French (2015) five-factor asset pricing model with liquidity factor. Using data from July 2010 to June 2017 of non-financial firms listed on PSX, a 2x3 sort approach is used to construct six left-hand side portfolios, and a 2x2 approach is used to construct right-hand side factors namely, SMB, HML, RMW, CMA, and IML. Time series regression is used to analyze the data to obtained results. The empirical evidence illustrates that in PSX the six-factor model has efficient and better outcomes. Furthermore, the liquidity factor has a strong role in improving the performance of the asset pricing model.

Authors

1-Kanwal Haqqani
Ph.D. Scholar, Department of Management Sciences, Sarhad University of Science and Information Technology, Peshawar, KP, Pakistan.

2-Muhammad Aleem
Ph.D. Scholar, Department of Management Sciences, Qurtaba University of Science and Information Technology, Peshawar, KP, Pakistan.

Keywords

PSX, LHS Portfolios, RHS Factors, Liquidity.

DOI Number

10.31703/ger.2020(V-I).21

Page Nos

255-265

Volume

V

Issue

I