Asset Pricing Puzzles: A Comparison of India and Pakistan

This study spotlights the price fluctuations between risk-factors and portfolio returns which motivates the study to scrutinize multifactor asset pricing models in India and Pakistan equity markets during January 2003 to December 2022. The study sample included monthly data from 250 non-financial enrolled enterprises in each market. The data was evaluated using the time-series Ordinary Least Square regression estimate approach. We find that market-factor performs significant contribution independently though augmenting the liquidity-factor which resultantly enhances an insignificant and tenuous impact in Pakistan equity market while investment-factor shows insignificant contribution independently though augmenting the liquidity-factor which resultantly enhances the impact positively