Alternative beta risk estimators and asset pricing tests in emerging markets: The case of Pakistan

Comparisons of Asset Pricing Models in the Egyptian Stock Market

“…The findings prefer Fama-French three factor model to the CAPM and the reward beta model developed by Bornholt (2007) in describing expected returns. Iqbal and Brooks (2007) apply the CAPM and the Fama-French three factor model in the Pakistani stock market using daily, weekly and monthly data. In daily data, the Fama-French model performs well in explaining expected returns, while in case of weekly and monthly data neither estimation approach offers significant explanations of returns.…”

Time varying size and liquidity effects in South Asian equity markets: A study of blue-chip industry stocks

“…However, there is a lack of evidence concerning the benefits of including both the FF size and book-to-market value factors in modelling the cross section of stock returns in Pakistan (Iqbal & Brooks, 2007) and India (Ameer, 2007). The presence of size effects is especially likely in emerging South Asian markets given the considerable dispersion of listings that are commonly from either larger internationally focussed firms or indigenous small and medium enterprises (SMEs), which are often controlled by dominant family groups (Athey & Laumas, 1994;Manos, Murinde, & Green, 2007).…”

“…There is evidence of major differences in trading activity and liquidity within markets across the South Asian region. Poshokwale and Theobald (2004) and Karmakar (2010) cite differences in liquidity across sectors within the large Indian equity market while this is a pervasive issue in Sri Lanka (Elyasiani, Perera, & Puri, 1998), Pakistan (Iqbal & Brooks, 2007) and Bangladesh (Akhtaruddin, 2005). Consequently this study investigates whether size and liquidity effects are priced in these markets.…”

“…The latter investigates capital structure decisions of Indian firms (see Chakraborty, 2010;Manos et al, 2007) as well as the contrast between sourcing funds internally as opposed to banks or the stock market (see Athey & Laumas, 1994). The scant literature that focuses on the wider sub-continent is concerned with the dynamic linkages between the Sri Lankan equity market and other South East Asian nations (Elyasiani et al, 1998), corporate disclosure and informational content of stock prices in Bangladesh (Akhtaruddin, 2005) and the application of the CAPM in Pakistan (Iqbal & Brooks, 2007). However, any extension of the CAPM to include liquidity measurement or an application of this to industry portfolios across the wider South Asian regional markets is new.…”

Impact of liquidity on stock returns: an empirical investigation of the Tunisian stock market

“…In contrast, Sang-Gyung, Marathe and Shawky (2003) and Dey (2005) confirm a positive relation between turnover and stock returns in emerging equity markets. Iqbal and Brooks (2007) also find a positive relation between trading volume and stock returns in the Karachi Stock Exchange. They advance that investors are naive in making investment decisions by looking at the past trading history of the stocks.…”