Deciphering equity style returns: An analysis of size and value anomalies in the Pakistani stock exchange
This study aims to identify the underlying causes of variation in the time series and cross-sectional equity style returns in the emerging stock market of Pakistan. We use asset pricing models and incorporate variables reflecting business cycle fluctuations to assess the time-varying size and value...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2023-08-01
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| Series: | Heliyon |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844023062308 |