Research Article 1 32
Journal of Management Sciences - Volume 9, Issue 2 2022
By Mohammad Azam
10.20547/jms.2014.2209205
Keywords: Fama & French five-factor model, Asset pricing, Consumer Confidence, Structural Equation Modelling, Pakistan Stock Exchange.

Using a sizable sample of data from the Pakistan Stock Exchange, the study explores the relationship between five risk indicators and portfolio stock returns as well as the mediating function of consumer confidence. The analysis is based on a five-factor model developed by Fama and French (2015) that incorporates time-series ordinary least square regression and structural equation modelling approaches. Market estimates show a statistically significant relationship with portfolio excess returns in terms of size, value, profitability, and investment risk-premia. Nevertheless, Consumer Confidence, a mediating and independent variable in Pakistani non-financial firms, is insignificant in capturing the variation of portfolio returns.

Submission Date: 3 Jul, 2022 Reviews Completed: 24 Oct, 2022
Acceptance Date: 30 Oct, 2022 Publication Date: 7 Nov, 2022