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- W4376875271 abstract "This study aims to extend the Fama-French three-factor model by including human capital as a fourth factor. For this purpose, we have collected data from 164 non-financial firms from July 2010 to June 2020. To evaluate the validity and applicability of our augmented human capital-based four-factor model, we apply the two-pass time series regression proposed by Fama-Macbeth (1973). We find that small firms outperform big firms, value stocks firms outperform growth stocks firms, and low-labor-income firms outperform high-labor-income firms. The augmented human capital-based four-factor model is valid and applicable in the context of the Pakistan equity market. The empirical results motivate academia and all investors to consider human capital in investment decisions." @default.
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- W4376875271 date "2023-05-01" @default.
- W4376875271 modified "2023-09-30" @default.
- W4376875271 title "Human capital-based four-factor asset pricing model: An empirical study from Pakistan" @default.
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- W4376875271 doi "https://doi.org/10.1016/j.heliyon.2023.e16328" @default.
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