Abstract
The main goal of this study is to examine firm and market level
variables that predict stock returns by using quarterly data taken from
July 1999 to December 2015. The study sample is sub-divided into pre
and post financial crisis of 2007-08. The results of the study depict that
in the pre-financial crisis period momentum and earnings growth rate
are the significant predictors of stock returns while momentum,
earnings growth rate, institutional ownership and trading volume are
the significant predictors of stock returns in the post-financial crisis
period. Furthermore, overall results show that momentum, earnings
growth rate and size are the significant predictors of stock returns for
the overall sample period. The results of the study are robust and can
be generalized to other time periods.
Habib Ur Rehman, Faid Gul. (2017) Stock Return Predictability Using Panel Regression: Empirical Evidence from Pakistani Equity Market , Journal of Managerial Sciences, Volume 11, Issue 2.
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