DOES PREMIUM EXIST IN THE STOCK MARKET FOR LABOR INCOME GROWTH RATE? A SIX-FACTOR-ASSET-PRICING MODEL: EVIDENCE FROM PAKISTAN

IF 2 0 ECONOMICS Annals of Financial Economics Pub Date : 2022-06-22 DOI:10.1142/s2010495222500178
N. Khan, H. Zada, I. Yousaf
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引用次数: 4

Abstract

The objective of this study is to explore Roy and Shijin [(2018). A six factor assets pricing model. Borsa Istanbul Review, 18(3), 205–217] six-factor-model of asset pricing by extending Fama and French five-factor model to include human capital as a sixth factor in the context of Pakistan — an emerging country in Asia, and to test the validity of the six-factor asset pricing model in explaining time-series variations in portfolio returns of Pakistan equity market. For this purpose, we use Fama and Macbeth’s two-pass time series regression technique to test the validity and applicability of the six-factor model. The findings indicate that the six factors model is an appropriate asset pricing model for explaining time-series variations in Pakistan. Furthermore, the human capital (labor income growth rate) is significant for most of the portfolios constructed in this study, which implies that the human capital significantly explains time-series variations in portfolio returns. The empirical results encourage all types of investors and academics to incorporate human capital into asset pricing models. It helps in more accurately estimating the required rate of return, which can improve asset pricing models.
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劳动收入增长率在股票市场中是否存在溢价?六因素资产定价模型:来自巴基斯坦的证据
本研究的目的是探索Roy和Shijin[(2018)。六因素资产定价模型。Borsa Istanbul Review,18(3),205–217]通过扩展Fama和法国的五因素模型,将人力资本作为第六因素纳入亚洲新兴国家巴基斯坦的背景下,并检验了六因素资产定价模型在解释巴基斯坦股市投资组合收益时间序列变化方面的有效性。为此,我们使用Fama和Macbeth的两次时间序列回归技术来检验六因素模型的有效性和适用性。研究结果表明,六因素模型是解释巴基斯坦时间序列变化的一个合适的资产定价模型。此外,人力资本(劳动收入增长率)对本研究构建的大多数投资组合都是显著的,这意味着人力资本显著解释了投资组合回报的时间序列变化。实证结果鼓励所有类型的投资者和学者将人力资本纳入资产定价模型。它有助于更准确地估计所需的回报率,从而改进资产定价模型。
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来源期刊
CiteScore
6.60
自引率
55.00%
发文量
30
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