The objective of the study is to analysis portfolio returns and the performance of asset pricing models in the context of macroeconomic variables. Portfolios have been constructed on the basis of firms' size; two equally weighted decile portfolios and two value weighed decile portfolios...

The determining force behind the value premium is the matter of debate among the researchers. Some are of the opinion that the financial distress risk determines value premium whereas other theorize that value premium is basically the compensation for operating leverage (investment activity...