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- W2136887132 abstract "This study evaluates the ability of the Fama and French Three Factor model to explain a cross section of stock returns in the Karachi Stock Exchange (KSE). Following Fama and French factor approach, we sorted six portfolios by size and book to market. The sorted portfolios were constituted to represent stocks from each and every sector of KSE. Using Daily returns from January 2003 to December 2007, the excess returns for each portfolio were regressed on market, size and value factors. Our findings, in general, supported the notion of the three factor model. The three factor model was able to explain the variations in returns for most of the portfolios and the results remain robust when the sample was reduced to control for the size effect. Our findings are consistent with most of the studies that suggested the validity of the three factor model in emerging markets. These results warrant for the inclusion of size and value factors for valuation, capital budgeting and project appraisals, thus, having substantial implications for fund managers, analysts and investors." @default.
- W2136887132 created "2016-06-24" @default.
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- W2136887132 date "2008-07-01" @default.
- W2136887132 modified "2023-10-03" @default.
- W2136887132 title "Size and Value Premium in Karachi Stock Exchange" @default.
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- W2136887132 doi "https://doi.org/10.35536/lje.2008.v13.i2.a1" @default.
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