Value-at-Risk and Expected Stock Returns: Evidence from Pakistan

dc.contributor.author	Javed Iqbal
dc.contributor.author	Sara Azher
dc.date.accessioned	2015-03-16T05:57:28Z
dc.date.available	2015-03-16T05:57:28Z
dc.date.issued	2014-12
dc.identifier.citation	The Lahore Journal of Economics Volume 19, No.2	en_US
dc.identifier.issn	1811-5438
dc.identifier.uri	http://hdl.handle.net/123456789/8365
dc.identifier.uri	http://www.lahoreschoolofeconomics.edu.pk/
dc.identifier.uri	http://hdl.handle.net/123456789/13724
dc.description	PP.30 ;ill	en_US
dc.description.abstract	This study investigates whether exposure to downside risk, as measured by value-at-risk (VaR), explains expected returns in an emerging market, i.e., Pakistan. We find that portfolios with a higher VaR are associated with higher average returns. In order to explore the empirical performance of VaR at the portfolio level, we use a time series approach based on 25 size and book-to-market portfolios. Based on monthly portfolio data for October 1992 to June 2008, the results show that VaR has greater explanatory power than the market, size, and book-to-market factors.	en_US
dc.language.iso	en	en_US
dc.publisher	© Lahore School of Economics	en_US
dc.subject	Value-at-risk	en_US
dc.subject	emerging market	en_US
dc.subject	Fama-French factors	en_US
dc.title	Value-at-Risk and Expected Stock Returns: Evidence from Pakistan	en_US
dc.type	Article	en_US