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All Journal SEISENSE Journal of Management
Azam, Mohammad
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Economics, Econometrics & Finance Social Sciences

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Tobin-Q, Liquidity and Momentum risk-premia: A Demonstration of Weighted Least Squares Regression Approach Azam, Mohammad
SEISENSE Journal of Management Vol. 6 No. 1 (2023): SEISENSE Journal of Management
Publisher : SEISENSE (PRIVATE) LIMITED

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33215/vm172083

Abstract

Purpose- The basic purpose of the study is to examine whether Tobin-q, liquidity and momentum risk-premium contributes the explanatory power in terms of explaining portfolio returns in PSX. Design/Methodology- The Weighted Least Square (WLS) regression technique is empirically used to examine the nexus between risk-factor and portfolio returns using PSX dataset. The models provide useful tools for making efficient strategies in the jurisdiction of investments and portfolio constructions. Findings- The study reveals that multidimensional liquidity exhibits weak significant results while Tobin-q and momentum risk-factors demonstrate statistically significant determinants for PSX. Furthermore, WLS regression produces robust coefficient results than OLS regression as except liquidity all the factors exhibit substantially improved results. Practical Implications- The study findings would be useful for stocks and portfolio managers constructing optimal and diversified portfolios while investing in PSX.
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