Neglected Firm Effect and Stylized Equity Returns: Evidence from Pakistan

• Autorzy: Adnan Akhter , Shahzad Butt , Shumaila Chaudhary , Junaid Kiyani
• Języki publikacji: EN

Abstrakty

EN

The neglected stock effect is the phenomenon where less researched stock earns more return than that predicted by the traditional CAPM. The aim of this study is to reveal the bonding between neglected stock premium and equity returns in the stock market of Pakistan by using Fama and French (1992 & 1993) methodology. This study is unique with respect to Pakistan that checks the relationship among neglected stock premium and equity returns on a sample of 200 stocks listed the largest stock market of Pakistan KSE. It is corroborated that neglected firm effect is present in market and priced by the market. This manifests that those stocks which are neglected, less researched and got less analyst coverage earn higher return in comparison to popular stocks that got more analyst coverage. The results also revealed that two factor model has greater explanatory power in comparison to Traditional CAPM. The results of this study are in line with the findings of Arbel and Strebel (1980) and Bertin, Michayluk and Prather (2008) for the USA equity market. Lower research analyst coverage increases the uncertainty for investor that how the company will perform in the future, which ultimately increase the risk factor and so the demand of return from the investors. The decision makers must consider this anomaly while making decisions regarding financing, investing etc. This study will facilitate the investors in taking effective investment decision and for efficient resource allocation.(original abstract)

Słowa kluczowe

EN

Shares; Equity market; Stock exchange

PL

Akcje; Rynek akcji; Giełda

• Czasopismo: International Letters of Social and Humanistic Sciences (ILSHS)
• Rocznik: 2015
• Tom: 50
• Strony: 100--106

Twórcy

autor

Adnan Akhter

• Lecturer, PMAS-Arid Agriculture University, Rawalpindi, Pakistan

autor

Shahzad Butt

• Lecturer-Bahria University, Islamabad, Pakistan

autor

Shumaila Chaudhary

• Graduates- PMAS-Arid Agriculture University, Rawalpindi, Pakistan

autor

Junaid Kiyani

• Graduates- PMAS-Arid Agriculture University, Rawalpindi, Pakistan

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Identyfikatory

DOI

10.18052/www.scipress.com/ILSHS.50.100