DOES THE INVESTMENT GROWTH ANOMALY EXIST IN STOCK MARKET? EVIDENCE FROM PAKISTAN
This study is an attempt to discover the presence of investment growth anomaly in Pakistan Stock Exchange (PSX) by using data of all firms during the period of 2000 to 2019. The mined data is ordered in decile portfolios which are arranged in ascending order, from the lowest portfolio to the highest one. Assessment of the portfolio returns is executed on monthly basis and returns of both sorts of portfolios i.e. equally and value weighted are measured. Subsequently, built portfolios are evaluated by using Capital Asset Pricing Model, Fama and French three and five factor CAPM models by engaging Generalized Method of Moments. The result postulates that investment growth anomaly does exist in PSX and the firms which are involved in lower investment deliver better return. These results may assist the investors by measuring the verdicts gained from evaluated portfolios to generate abnormal return in PSX.