Operational Efficiency based Investment strategies and Equity Returns: Evidence from Emerging Economy

Abstract

The objective of this paper is to study the impact of market premium, asset growth, net operating assets and volatility premium on future stock returns. This study uses secondary data of monthly closing stock prices of hundred non-financial companies, listed in Pakistan Stock Exchange (PSX). The sample period of the study consists of 20 years from Jun-1998 to Jun-2018 with 2000 firm year observations. The research methods used are quantitative research along with deductive approach. In logical and scientific methods, the needed data is collected from the official website of PSX. This study is descriptive in nature and relationship between variables is measured using Regression Analysis. The results of the study show that market premium and volatility premium have positive and significant impact on stock returns. Whereas, asset growth premium and net operating asset premium have mixed pattern.

Keywords:     Pakistan Stock Exchange, Regression Analysis, Market Premium, Asset Growth, Volatility, Net Operating Assets