因子模型在解释异常回归模式中的表现:来自巴基斯坦的证据

IF 1.2 4区经济学 Q3 BUSINESS, FINANCE

Investment Analysts Journal Pub Date : 2022-04-03 DOI:10.1080/10293523.2022.2084222

Mehak Younus, Hilal Anwar Butt

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引用次数: 3

摘要

本文以290家在巴基斯坦证券交易所上市的公司为样本，比较了经典和现代资产定价因子模型在解释巴基斯坦股票市场异常收益方面的作用。我们复制了54个异常，成功复制率为31.5%。我们还复制了所选因素模型的因素，包括Fama和French的三因素、五因素和六因素模型以及另一种六因素模型;Hou, Xue, and Zhang的q-factor模型和另一个q-factor模型;以及Stambaugh和Yuan的错误定价因素模型和另一个错误定价因素模型。使用各种时间序列测试来测试因子模型的性能。我们发现在解释异常收益方面没有明确的赢家，我们需要其他方法来测试模型在解释巴基斯坦异常方面的能力。

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Performance of factor models in explaining anomalous return patterns: Evidence from Pakistan

ABSTRACT We compared classic and contemporary asset pricing factor models in explaining anomalous returns in the Pakistani stock market using a sample of 290 companies listed on the Pakistan Stock Exchange. We replicated 54 anomalies with a successful replication rate of 31.5%. We also replicated the factors of chosen factor models, including Fama and French's three-, five-, and six-factor models and an alternate six-factor model; Hou, Xue, and Zhang's q-factor model and an alternate q-factor model; and Stambaugh and Yuan's mispricing factor model and an alternate mispricing factor model. The performance of the factor models is tested using various time-series tests. We found that there is no clear winner in explaining anomalous returns, and we require other approaches to test the models’ abilities in explaining anomalies in Pakistan.

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来源期刊

Investment Analysts Journal BUSINESS, FINANCE-

CiteScore

1.90

自引率

11.10%

发文量

期刊介绍： The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.