The main purpose of this study is to identify the association among mutual fund risk measures and Return Parameters and to evaluate the mutual fund performance. Moreover to identify the best performance tools for investment in Pakistani mutual fund industry. Thirty five mutual funds have been...

This study investigates the presence of the MAX effect – stocks with extreme daily (positive) return in the current month perform poorly in the following month – in the Pakistani stock market (PSX). Similar to the US, Europe, and Chinese stock markets, we find a negative effect of MAX on...

This study investigates the presence of the MAX effect – stocks with extreme daily (positive) return in the current month perform poorly in the following month – in the Pakistani stock market (PSX). Similar to the US, Europe, and Chinese stock markets, we find a negative effect of MAX on...

Using an extensive sample of the Pakistani stock market over the 2003–2016 period, this paper is the first to evaluate and compare the performance of four most popular factor pricing models: the Fama and French three-factor model, Carhart's four-factor model, the five-factor model proposed by...

Using an extensive sample of the Pakistani stock market over the 2003–2016 period, this paper is the first to evaluate and compare the performance of four most popular factor pricing models: the Fama and French three-factor model, Carhart’s four-factor model, the five-factor model proposed...