Work

The Empirical Test of Fama-French Five-Factor Model: Evidence from Pakistan Stock Exchange

Year: 2020

Type: article

Abstract: This study provides an empirical examination of the Fama and French five-factor asset pricing model (FF5FM) in the equity market of Pakistan. Using data from 2007 to 2017of non-financial firms listed on PSX. The univariate approach is used to construct the dependent portfolios based on four firms characteristics, while a 2x3 approach is used to construct size, value, profitability, and investment factors. Time series regression is used to analyze the data to obtained results. The empirical evidence demonstrates that FF5FM performs better the three-factor model in the Pakistan stock market and the performance of the four-factor model that drops investment factor is similar to FF5FM except for portfolios constructed based on investment factor.

Source: Global Management Sciences Review

DOI: 10.31703/gmsr.2020(v-iii).04

Authors: Kanwal Haqqani, Wali Rahman

Institution: Sarhad University of Science and Information Technology

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W4251385508

FWCI: 0.477

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Cited by: 3

Related to: 10