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Institutional Development and Stochastic Behaviour of Common Stock Prices…
Institutional Development and Stochastic Behaviour of Common Stock Prices in Pakistan
Outcomes
Firm Level Time Varying Risk Premia
Industry Level Time Varying Risk Premia
Industry Level Risk Premia
Leverage Effect
Firm Level Risk Premia
Persistent Volatility
Non Synchronous Trading Effects
Methodology
Carhart Four Factor Model
Fama & French Five Factor Model
Fama & French Three Factor Model
GARCH-M Model
CAPM
Model for Leverage Effect
Variables
Value
Momentum
Size
Investment
Market
Profitability
Significance
Detection of Risk Premia & Volatility
Investigation of Movements in Stock Prices
Firm Level Non Financial Data Analysis
Cost & Benefit Analysis of Liberalization Policies
Prediction & Understanding
Investment
Profitability
Momentum
Market Behaviour
Efficiency
Stochastic
Stability
Funding Agencies
Higher Education Commission of Pakistan
Applied Economics Research Centre