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Unveiling the Black Swan of the Inflation-Adjusted Real Excess Returns-Risk Nexus: Evidence From Pakistan Stock Exchange
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With the exception of profitability, the data show that market, size, value, momentum, and investment factors are all strongly associated to excess portfolio stock returns using ordinary lease square regression technique. According to the Gibbons, Ross, and Shanken test, the momentum augmented Fama-French six-factor model outperforms the market. This technique discovery may be utilised by academics and professionals to acquire an in-depth knowledge of the Pakistan Stock Exchange across a broad stock pattern for investing decisions and portfolio construction. <iframe src="https://publications.waset.org/abstracts/159679.pdf" style="width:100%; height:400px;" frameborder="0"></iframe> <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=real%20excess%20portfolio%20returns" title="real excess portfolio returns">real excess portfolio returns</a>, <a href="https://publications.waset.org/abstracts/search?q=momentum%20augmented%20fama%20%26%20french%20five-factor%20model" title=" momentum augmented fama & french five-factor model"> momentum augmented fama & french five-factor model</a>, <a href="https://publications.waset.org/abstracts/search?q=GRS-test" title=" GRS-test"> GRS-test</a>, <a href="https://publications.waset.org/abstracts/search?q=pakistan%20stock%20exchange" title=" pakistan stock exchange"> pakistan stock exchange</a> </p> <a href="https://publications.waset.org/abstracts/159679/unveiling-the-black-swan-of-the-inflation-adjusted-real-excess-returns-risk-nexus-evidence-from-pakistan-stock-exchange" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/159679.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">102</span> </span> </div> </div> </div> </main> <footer> <div id="infolinks" class="pt-3 pb-2"> <div class="container"> <div style="background-color:#f5f5f5;" class="p-3"> <div class="row"> <div class="col-md-2"> <ul class="list-unstyled"> About <li><a href="https://waset.org/page/support">About Us</a></li> <li><a href="https://waset.org/page/support#legal-information">Legal</a></li> <li><a target="_blank" rel="nofollow" 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