Firm Level Risk and Return Analysis: Case Study of Pakistan Stock Exchange
Author: Abdul Wase

Return to Risk Ratio (RRR) is a tool for measuring the performance of a stock. In Pakistan, no study has yet been conducted to measure the performance of stock at firm level using this technique. While investing in stocks of a specific firm, investors require knowing the risk and return associated with that particular firm’s stock. Rational investors invest in stocks which bear lower risk and yield higher returns. This study aims at comparing the performance of firms listed in Pakistan Stock Exchange using return to risk ratio (RRR). Daily data is used from thirty six renowned firms from eight different sectors for the period of Jan, 2011 to Dec, 2016. As stock returns show time varying volatility, GARCH modeling is applied to calculate conditional variance (risk) for all the firms. RRR is calculated by dividing the return over risk for each day for the entire period and then taking the average. This study highlights that cement and automobile assembling sector are performing better than other sectors and are providing lucrative opportunities to the investors to earn high return while bearing low risk. Supervisor:- Dr. Saud Ahmed Khan

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Supervisor: Saud Ahmed Khan

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