摘要：This paper aims to study the ability of the six value-growth indicators (i.e. grossprofit to total assets, earning to price, book to market, dividend to price, cashflow to price andsales to price ratio) to generate value premium in Pakistan Stock Exchange. This paper uses themethodology of Dimson, Nagel, and Quigley (2003) to construct Fama and French factors. Usingthe data of daily stock returns from year 2001 to 2014 to form value weighted two dimensionalportfolios, this study reports the existence of strong value premium for Pakistan equity market.Value premium is positive irrespective of the value-growth indicator used. Book to market ratio,although widely used in previous studies, generates lowest value premium (along with sales to priceratio). Additionally, gross profit to total assets when used as value-growth indicator can explainmore variations in stock returns whereas, dividend to price ratio have lowest explanatory power ofall the proxies used in this study.
关键词：Value premium; value-growth effect; book to market effect.
