Kashif Muhammad, Chamadia Sumaira, Ahmed Farhan, Trinidad Segovia Juan E
Faculty of Management Sciences, SZABIST University, Pakistan.
Economics & Management Sciences Department, NED University of Engineering and Technology, Karachi, Sindh, Pakistan.
Heliyon. 2023 Aug 8;9(8):e19022. doi: 10.1016/j.heliyon.2023.e19022. eCollection 2023 Aug.
This study aims to identify the underlying causes of variation in the time series and cross-sectional equity style returns in the emerging stock market of Pakistan. We use asset pricing models and incorporate variables reflecting business cycle fluctuations to assess the time-varying size and value premiums. The methodology of this paper involves constructing style portfolios based on firm-specific characteristics such as market capitalization, price to earnings ratio, book-to-market equity ratio, momentum, and asset growth. We find that the style portfolios earn abnormal returns consistently which cannot be explained either through asset pricing models or business cycles variables. However, the size and value premiums are found to be subsided during the troughs of economic cycles. The results suggest that the abnormal returns for style portfolios are likely driven by firm-specific characteristics rather than macroeconomic factors. Overall, this study contributes to the literature on style investing by providing insights into the profitability of equity style portfolios in the Pakistani equity market. Our findings have implications for stock picking, investment management and risk factor analysis.
本研究旨在确定巴基斯坦新兴股票市场中时间序列和横截面权益风格回报变化的潜在原因。我们使用资产定价模型并纳入反映商业周期波动的变量，以评估随时间变化的规模和价值溢价。本文的方法包括根据公司特定特征构建风格投资组合，如市值、市盈率、市净率、动量和资产增长。我们发现，风格投资组合持续获得异常回报，这无法通过资产定价模型或商业周期变量来解释。然而，在经济周期的低谷期，规模和价值溢价会下降。结果表明，风格投资组合的异常回报可能是由公司特定特征而非宏观经济因素驱动的。总体而言，本研究通过深入了解巴基斯坦股票市场中权益风格投资组合的盈利能力，为风格投资文献做出了贡献。我们的研究结果对选股、投资管理和风险因素分析具有启示意义。
