1. MUHAMMAD ASGHAR KHAN - School of Economics and Management, Panzhihua University, Panzhihua, China.
2. RAJA REHAN - University Kuala Lumpur, Kuala Lumpur, Malaysia and Department of Business Administration, ILMA
University, Karachi, Pakistan.
3. IMRAN UMER CHHAPRA - Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST), Karachi, Pakistan.
4. SUNNY KUMAR GUNETA​ - Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST), Karachi, Pakistan.
The aim of this study is to explore the existence of the asset growth anomaly effect in the Pakistan stock exchange (PSX). The data of all Pakistani listed firms and delisted firms from 2000 to 2017 is collected from Thomson Reuters DataStream and State Bank of Pakistan (SBP) database. Technically, data is organized in decile portfolios (P1 to P10) which is going from the lowest to highest asset growth ratio. Remarkably, the estimation of portfolio returns is performed on monthly basis i.e. post ranking returns. Likewise, equal and value weighted portfolios returns are estimated by adding risk-free rate. After that, the profitability for the asset growth is calculated both portfolios i.e. value and equally weighted portfolios and then it is tested by the Capital Asset Pricing Model (CAPM), Fama three-factor and Fama five-factor models by employing Generalized Methods of Moments (GMM) and Wald Test. Clearly, the discoveries advise that anomaly of asset growth does exist in PSX market and firms with lower assets growth are performing better. Nevertheless, firms that have higher assets growth indicate that asset pricing models are mis specified in PSX. The results will help investors in better understanding the stock returns of Pakistani firms and recommend the investors to build portfolios with lower assets growth rate stock to generate abnormal stock returns from PSX.
The aim of this study is to explore the existence of the asset growth anomaly effect in the Pakistan stock exchange (PSX). The data of all Pakistani listed firms and delisted firms from 2000 to 2017 is collected from Thomson Reuters DataStream and State Bank of Pakistan (SBP) database. Technically, data is organized in decile portfolios (P1 to P10) which is going from the lowest to highest asset growth ratio. Remarkably, the estimation of portfolio returns is performed on monthly basis i.e. post ranking returns. Likewise, equal and value weighted portfolios returns are estimated by adding risk-free rate. After that, the profitability for the asset growth is calculated both portfolios i.e. value and equally weighted portfolios and then it is tested by the Capital Asset Pricing Model (CAPM), Fama three-factor and Fama five-factor models by employing Generalized Methods of Moments (GMM) and Wald Test. Clearly, the discoveries advise that anomaly of asset growth does exist in PSX market and firms with lower assets growth are performing better. Nevertheless, firms that have higher assets growth indicate that asset pricing models are mis specified in PSX. The results will help investors in better understanding the stock returns of Pakistani firms and recommend the investors to build portfolios with lower assets growth rate stock to generate abnormal stock returns from PSX.