Neglected firm effect and stylized equity returns: evidence from Pakistan
Abstract: 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 Be
- Standort
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Deutsche Nationalbibliothek Frankfurt am Main
- Umfang
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Online-Ressource
- Sprache
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Englisch
- Anmerkungen
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Veröffentlichungsversion
begutachtet (peer reviewed)
In: International Letters of Social and Humanistic Sciences (2015) 50 ; 100-106
- Klassifikation
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Wirtschaft
- Ereignis
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Veröffentlichung
- (wo)
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Mannheim
- (wann)
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2015
- Urheber
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Akhter, Adnan
Kiyani, Junaid
Chaudhary, Shumaila
Butt, Shahzad
- DOI
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10.18052/www.scipress.com/ILSHS.50.100
- URN
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urn:nbn:de:101:1-2019072015384769749952
- Rechteinformation
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Open Access; Open Access; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Letzte Aktualisierung
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25.03.2025, 13:49 MEZ
Datenpartner
Deutsche Nationalbibliothek. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Beteiligte
- Akhter, Adnan
- Kiyani, Junaid
- Chaudhary, Shumaila
- Butt, Shahzad
Entstanden
- 2015
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