Pakistan: a study of market's returns and anomalies

Purpose This paper aims to expand foreign investors' understanding of potential return enhancement and risk diversification advantages offered by equity market Pakistan through comparing its performance performances in other markets investigating what matters for investing Pakistan's market. Design/methodology/approach Comparative analysis Stock Exchange is performed using data 22 developed emerging over the period 1993–2019. Cross-sectional 130 non-financial firms from Carhart (1997) Fama French (2015) models are applied. The role liquidity with five-factor model analyzed turnover rate Amihud (2002) illiquidity cost as measures. Findings offers substantial benefits if added portfolios. However, observed large returns come together inverted premia most traditional factors indicating that investors may want invest preferably big stocks low book-to-market momentum. Finally, global can high yielding owing positive connection between returns. Practical implications study will provide investment enhance their portfolio Policy makers must identify regulatory steps facilitate investments. Originality/value To best authors' knowledge, this first which identifies efficiency gains investors.