1. ILYAS AHMAD - UE Business School, Division of Management and Administrative Science, University of Education, Lahore.
2. MUHAMMAD QASIM - UE Business School, Division of Management and Administrative Science, University of Education, Lahore.
3. SHEEBA ZAFAR - Department of Management Sciences, Shifa Tameer-e-Millat University, Islamabad.
4. MUHAMMAD USMAN - UE Business School, Division of Management and Administrative Science, University of Education, Lahore.
5. NADIA NOOR - Department of Management Sciences, Lahore College for Women University, Lahore.
The study investigates the impact of size, value, market premium, and oil price and momentum effects on the stock returns by using the data of 80 non-financial firms listed on the Pakistan Stock Exchange (PSX). The data covered a period from July 2006-June 2015. Time series based Ordinary Least Square (OLS) regression is used to study the relationship between variables. The oil prices are used as an additional factor in this model. Oil prices are further divided into the oil price increase and oil price decrease. The results of the study indicated that risk and momentum have significant effects on the stock returns while size effect and value effect do not exist on stock returns. In addition, oil prices decrease has a significant while oil prices increase has an insignificant impact on stock returns. The study is useful for the policy makers to factoring and designing their policy that is helpful for investors to make investment decisions.
Fama-French and Carhart Model, Oil Prices, OLS Regression, Stock Returns