Abstract
The basic aim of this study is to analyze the collaborative role of
leverage and WACC in the domain of asset pricing theory for which
five factors augmented model is used to give more coherent explanation
and to incarcerate the pattern in Size, Book to market, leverage and
WACC. The basic stress of the study is also to ascertain the model that
is best fit for describing average returns on the portfolio formed in
different ways for which different version are also adopted to construct
the factors. Monthly data of equity prices is used for the period of June
1998 to June 2016 for non-financial firms listed at Pakistan stock
exchange. To strengthen the outcomes the Regressions are applied to
have more detailed understanding into model performance specifically
intercepts and its related slopes. The main significant results for all left
hand side portfolios are analyzed and interpreted in the tests. The most
exciting with remarkable interest, as compared to FF original three
factor model the five factor model outperform on all ground and
metrics. By and large, the pragmatic outcomes demonstrate the
existences of these factors premium and significance of proposed asset
pricing augmented model also increases.
Maria Sultana, Bakhtiar Khan. (2018) Collaborative Impact Of Leverage And Weighted Average Cost Of Capital In An Asset Pricing Mechanism , Journal of Managerial Sciences, Volume 12, Issue 3.
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