Fama and French (2015) five-factor model using SEM with a Mediating Role of Liquidity: Evidence from Pakistan

Journal of Social Sciences and Management Studies Pub Date : 2023-06-10 DOI:10.56556/jssms.v2i4.437

M. Azam

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引用次数: 1

Abstract

Liquidity is one of the intricate phenomena that cannot be assessed in a single dimension due to its multidimensional structure, which is still contentious among researchers and must be explored from several perspectives. This study thus analyses the multidimensional liquidity as mediating variable to empirically investigate whether liquidity influence the nexus between risk-premiums and portfolio stock returns using Structural Equation Modeling. Using liquidity as factor is employed using time-series OLS regression technique. The sample used in this study comprised of monthly returns of 286 non-financial firms enlisted on PSX for time span from January 2006 through June 2022. The findings of the study reveal that liquidity as mediating variable performs statistically highly significant while as independent risk-factor also performs statistically highly significant using Fama and French (2015) five-factor model. The market risk-premium exhibits statistically insignificant results for PSX while size, profitability and investment also show significant findings in the market. The potential investors and portfolio managers need to consider liquidity as benchmark criteria prior to make decision regarding investing in PSX.

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Fama和French(2015)运用具有流动性中介作用的SEM五因素模型:来自巴基斯坦的证据

流动性是一种复杂的现象，由于它的多维结构，无法用单一的维度来评估，这在研究者中仍然存在争议，必须从多个角度来探讨。本研究以多维流动性为中介变量，运用结构方程模型实证研究流动性是否影响风险溢价与投资组合股票收益之间的关系。采用时间序列OLS回归技术，以流动性为影响因素。本研究中使用的样本包括2006年1月至2022年6月期间在PSX上市的286家非金融公司的月度回报。研究结果表明，使用Fama和French(2015)五因素模型，流动性作为中介变量具有统计高度显著性，而作为独立风险因素也具有统计高度显著性。市场风险溢价对PSX的结果不具有统计学意义，而规模、盈利能力和投资在市场上也有显著的发现。潜在的投资者和投资组合经理在决定投资PSX之前需要考虑流动性作为基准标准。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Journal of Social Sciences and Management Studies Social Sciences and Management Studies-

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期刊介绍： Journal of Social Sciences and Management Studies (ISSN: 2957-8795) is a peer reviewed journal focuses on integrating theory, research and practice in the area of management and social sciences. The journal discusses the distinctive disciplinary practices within the sciences of the management and social field and examines examples of these practices. In order to define and exemplify disciplinarity, the journal fosters dialogue ranging from the broad and speculative to the microcosmic and empirical. In considering the varied interdisciplinary, trans-disciplinary or multidisciplinary work across and between the social, natural and applied sciences, the journal showcases interdisciplinary practices in action. The focus of papers ranges from the finely grained and empirical, to wide-ranging multi-disciplinary and transdisciplinary practices, to perspectives on knowledge and method.