The study inspects the size and liquidity pattern in Pakistan equity market.
Sample size contains 278 non-financial firm's monthly data listed on Pakistan
Stock Exchange (PSX) from 2001 to 2012. This study uses three asset pricing
models (eq.5), (eq.6) and (eq.7). Four factors asset pricing model estimates
that momentum factor is positively and negatively linked with winner and loser
stocks, both in size and liquidity patterns. Although it is observed that the
presence of size and liquidity does not affect the coefficient results but average
value of momentum premium in larger in liquidity than size pattern. Further,
the study reveals high average stock returns on momentum strategy in liquidity
pattern than size that is 8.05% Vs 6.67%, respectively. Results of this study
contradicts Fama and French (2012) who concluded that size pattern in
momentum factor outperform the equity market. But this study conclude that
liquidity pattern outperforms the size pattern in momentum factor. This study
raises the question that should investors and academicians consider size or
liquidity pattern in momentum factor for high returns and future research?
1-Romana Bangash Assistant Professor, IM Sciences, Peshawar, KP, Pakistan.2-Faisal Khan PhD Scholar, IM, Sciences, Peshawar, KP, Pakistan. 3-Zohra Jabeen Assistant Professor, IM Sciences, Peshawar, KP, Pakistan.