Estimating long-term expected returns as accurately as possible is of critical importance. Researchers typically base their estimates on yield and growth, valuation, or a combined yield, growth, and valuation framework. We run a horse race of the abilities of different frameworks and input...

This study exploits information contained in high frequency sample data by computing higher realized moments of individual firms in the emerging stock market of Pakistan. Furthermore, the relation of higher moments with future stock returns is examined by constructing decile portfolios based on...

This paper examines the implications for risk taking in an emerging stock market, viz., Pakistan Stock Exchange (PSX), using tools that specifically account for the asymmetries. We perform sectoral level price data analysis to infer how investors behaved during various states of stock market...

This study shows that 14 widely documented technical indicators explain cross-sectional stock expected returns. The technical indicators have lower estimation errors than the three-factor Fama-French model and the historical mean. The long-short portfolios based on the cross-sectional estimated...