Interdisciplinary Journal of Contemporary Research in ... - Webs

ijcrb.webs.com
INTERDISCIPLINARY JOURNAL OF CONTEMPORARY RESEARCH IN BUSINESS
� Given these regression results it can be deduced that only results during bull
time period favor the Fama and French three factor model in Karachi Stock
Exchange.
5. Conclusion
The results have supported the validity of three factor model during bullish time period in the
sample, as the intercept is insignificant and market, size and value premium factors are
significant. The empirical evidence and the findings drawn from the regression analysis suggest
that FF three factors model is valid for KSE only during bullish market trend.
6. Recommendations
Future research can be extended on the basis of data collected for more then four years. A
large sample size could provide more convincing results for the bearish and neutral
market trends. KSE-100 index is taken as a proxy of the whole market might be a biased
indicator as big cap companies account for most of the fluctuations in KSE 100 index.
Table 1: Pooled Regression Coefficient Estimates and Adjusted
R 2 during bull period
Α β1 Β2 β3 R 2
ERit 0.009 0.339 0.107 -0.137 0.048
Table 1.1 : T-statistics
*Significant at 95%
t(β1) t(β2) t(β3)
1.44 0.431 -0.554
Table 2 : Pooled Regression Coefficient Estimates and Adjusted R 2 during
neutral time period
Α β1 β2 β3 R 2
ERit -0.012 0.742 0.428 0.385 0.715
Table 2.1: T-statistics
t(β1) t(β2) t(β3)
3.671 1.572 1.382
COPY RIGHT © 2011 Institute of Interdisciplinary Business Research 253
JANUARY 2011
VOL 2, NO 9