The reversal strategy: A test case for an emerging market

The reversal strategy: A test case for an emerging market

The reversal strategy in the Pakistan Stock Market has shown significant profits for the time period January 1993 - September 2017. The available asset pricing models are unable to link these returns with the risk premium. This paper explores an alternative channel of predicting risk premium. It sug...

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Bibliographic Details
Main Authors: Hilal Anwar Butt, Mohsin Sadaqat
Format: Article
Language:English
Published: Institute of Business Administration 2019-06-01
Series:Business Review
Subjects:
reversal strategy
risk premium
market volatility
liquidity provision
Online Access:https://ir.iba.edu.pk/businessreview/vol14/iss1/2/

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