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ijcrb.webs.com INTERDISCIPLINARY JOURNAL OF CONTEMPORARY RESEARCH IN BUSINESS Table 3: Pooled Regression Coefficient Estimates and Adjusted R 2 for bearish period Α Β1 β2 β3 R 2 ERit -0.038 0.867 -0.476 0.882 0.849 Table 3.1: T-statistics t(β1) t(β2) t(β3) 8.174 -2.542 8.761 COPY RIGHT © 2011 Institute of Interdisciplinary Business Research 254 JANUARY 2011 VOL 2, NO 9
ijcrb.webs.com INTERDISCIPLINARY JOURNAL OF CONTEMPORARY RESEARCH IN BUSINESS References Brock, W., Lakonishok, J. & Lebaron, B. (1992), „Simple technical trading rules and the stochastic properties of stock returns.‘, Journal of Finance 47, 1731–1764. Brown, S., Goetzmann, W. & Kumar, A. (1998), „The dow theory: William peter hamilton’s track record reconsidered’, Journal of Finance 53, 1311–1334. Chauvet, M. & Potter, S. (2000), „Coincident and leading indicators of the stock market’, Journal of Empirical Finance 7, 87–111. Chen, Anlin and Tu, Eva, (2000) Factor Models Under Firm Characteristics in Emerging Markets: A Study of Taiwan Stock Returns. Available at SSRN: http://ssrn.com/abstract=213320 or DOI: 10.2139/ssrn.213320. Connor, G. and S. Sehgal (2001), “Tests of the Fama and French Model in India.” Working Paper. Davis, J. and Desai, A. (1998), “Stock Returns, Beta and Firm Size: The Case of Bull, Bear, and Flat Markets.” Journal of Financial Economics June, 1998. Fama, E. F. and K.R. French (1992), The Cross Section of Expected Stock Returns, Journal of Finance 47, 427-465. Fama, E. F., and K. R. French(1998) “Value versus Growth: The International Evidence.” Journal of Finance 53, (1998): 1975-1999 Fama, E. F., and K. R. French (1996) “Multifactor Explanations of Asset Pricing Anomalies.” Journal of Finance 51, pp: 55-84. Faff, R. (2001) An Examination of the Fama and French three-factor model using commercially available factors, Australian Journal of Management 26, 1-17. Gonzalez, L. P. Hoang, J.G. Powell, J. Shi, (2007b), “Defining and dating bull and bear markets: two centuries of evidence”, Working Paper, Australian National University. Grundy, Kevin and Burton G. Malkiel, “Reports of Beta‟s Death Have Been Greatly Exaggerated.” Journal of Portfolio Management, 22 (1996) pp. 36-44. Kuhn, S. and Seals McDonald, K., (1995) “Cheap Stocks: Are they Trash or are they Fortune, 16 October. Lintner, J. (1965). The valuation of risk assets and selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics, 47, 13-37. Mirza, Nawazish, (2008) Size and Value Premium in Karachi Stock Exchange. Available at SSRN: http://ssrn.com/abstract=1122943 Mossin, J. (1966) “Equilibrium in a capital asset market.” Econometric 34, page: 768- 783. Pare, T., (1992), “The Solomon of Stocks Finds a Better way to Pick Them”, Fortune, 1 June, 1992, pp. 23-24. Sharpe, W. F. (1964), “Capital Asset Prices: A Theory of market Equilibrium under Condition of Risk.” Journal of Finance 19, 425-442. Shah, S. (2008). KSE one of the best performing markets in the region [Online] Available at http://www.media4pakistan.com, assessed on 23/5/09. Shelly W. Howton, David R. Peterson (1998), “An Examination of Cross-Sectional Realized Stock Returns using a Varying-Risk Beta Model” Financial Review- Volume 33, Issue 3, Pages199 – 212. Sperandeo, V. (1990), Principles of professional speculation, John Wiley. p.102 COPY RIGHT © 2011 Institute of Interdisciplinary Business Research 255 JANUARY 2011 VOL 2, NO 9
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