Papers by Imran Umer Chhapra
Global Management Journal for Academic & Corporate Studies (GMJACS), 2020
Profitability, which is estimated by the company's gross profits to assets i.e. Revenue (R) less ... more Profitability, which is estimated by the company's gross profits to assets i.e. Revenue (R) less cost of good-sold (COGS) has approximately the same power as a book to market (B/M) in forecasting the stock's average return in 'cross-section'. Profitable companies engender significantly greater average returns as compared to unprofitable companies, even with the greater valuation ratios of the company. Thus, this study endeavors to explore either the gross profitability anomaly exists in the 'Pakistan Stock Exchange (PSX)' and examined through famous asset pricing models i.e. CAPM, FF (three-factor & five-factor) model in the (PSX). Data set of listed-delisted companies are gathered from the period (2000-2018) through "Thomson Reuters Data Stream" and (PSX). Decile portfolios of the companies are constructed for analysis of time-series techniques. Equally (EW) and value-weighted (VW) gross profitability based portfolios are developed to examine the robustness of the sorted portfolio. Generalized method of moments (GMM) and Wald Test are utilized. The empirical time series analysis depicts the findings with significant evidence that gross profitability anomaly exists and yields higher returns in (PSX). Therefore, it can be concluded from the results that all three asset pricing (CAPM, FF-three & five-factor) models are misspecified models in (PSX) and there are other factors such as gross profitability for the prediction of the stocks.
Etikonomi, 2020
This study empirically investigates the relationship between default risk and cross-section of st... more This study empirically investigates the relationship between default risk and cross-section of stock returns in the Pakistan Stock Exchange (PSX). Stock price data from all listed and delisted companies use to calculate monthly returns from 2001-2016. Ohlson's O-score is employed to measure exposure of firm to systematic deviation within bankruptcy risk. Besides, asset-pricing models like the Capital Asset Pricing Model (CAPM) and Fama French (FF) models are employed. Portfolios are sorted in deciles by default probability. This result finds that stocks of firms significantly exposed to not diversified Default Risk yield higher returns. Besides that, the FF models explain cross-sectional stock returns since factors incorporate information on financial distress and default. After that, the book-to-market equity factor is not significant in elucidating returns of distressed firms because of market inefficiency. Results have practical implications for portfolio managers and investors of an emerging economy in developing diversified portfolios during periods of uncertainty and market volatility.
Globalization has reduced the barriers to international trade and investment which has created nu... more Globalization has reduced the barriers to international trade and investment which has created numerous opportunities for investors to invest in different markets. Stock markets and foreign exchange markets are two major sources for investment vehicles to invest and maximize returns on investment. This research has been conducted to do analyse the exchange rate and stock price in the context of South Asian countries. The data for exchange rates and stock prices has been taken from 2007 to 2016 and has been analysed through the statistical tests of co-integration and error correction model (ECM). The empirical outcomes show that there is no form of association between exchange rate and stock price in Pakistan and India. However, these two financial variables are impact in both short term and long-term periods in Sri Lanka. The results of this research can help investors to use the information on the exchange rate when seeking to invest in Sri Lankan stock markets whereas, Pakistani and Indian investors can see the other trends of interest rates, GDP rate or inflation rate. This study empirically tests the theoretical relationship between exchange rate and stock prices. Various studies in the past have tested the relationship in developed countries, but no research has focused on South Asian countries. These results have implication for students, investors, and policymakers as it helps them to better understand the economic relationship and devise economic policies accordingly.
Humanities and Social Sciences Letters, 2019
We used the co-integration approach and panel unit root test to estimate banks‟ equity duration i... more We used the co-integration approach and panel unit root test to estimate banks‟ equity duration in Pakistan, India, China, Australia, the UK and the US from 1992 to 2017. The results showed that the highest duration is in the UK and Chinese banks then the US and Indian banks followed by the banks in Pakistan and Australia. These results have important implications for policymakers particularly because banks act as channels for monetary policy. Since duration is a measure of sensitivity to interest rates, these results imply that the UK and Chinese banks would be the most affected by monetary policy changes while those in Pakistan and Australia would be the least affected. Since duration also measures the speed by which cash flows come back, these results indicate that investors in Pakistan and Australia banks recover their investments faster than investors in the Indian, US, Chinese and UK banks. Therefore, banks in Australia and Pakistan are the most profitable while those in the UK and China are the least profitable.
Asian Academy of Management Journal of Accounting and Finance, 2019
The Capital Asset Pricing Model (CAPM) assumes a linear relationship between an asset's return an... more The Capital Asset Pricing Model (CAPM) assumes a linear relationship between an asset's return and financial market. However, empirical invalidity of linearity of returns has given birth to other CAPM models. Therefore, this study aims to examine the implication of preference by a risk-averse investor for higher moments and downside risk as investors are assumed to be prudent, temperate and cautious and prefer firms with negative co-skewness, positive co-kurtosis, and downside risk as they yield higher risk premium. To empirically test these theoretical assumptions data of all 901 firms (listed and delisted) in Pakistan Stock Exchange (PSX) from 2000 to 2016 have been used. Decile portfolios are constructed for cross-sectional and time series analysis. Generalized Method of Moments (GMM) and Wald Test are applied to check the robustness of results. The results indicate that co-skewness, co-kurtosis and downside beta are important risk factors but only downside beta is genuinely priced over and above what co-variance risk can explain and CAPM does not significantly capture market risk premium indicating the existence of other risk measures in PSX. The findings can help investors in formulating investment strategies for constructing well-diversified and efficient portfolios and can enable firm managers to take appropriate capital budgeting decisions by appropriately costing equities.
Scarcity of natural resources including energy resources motivated many researchers to extensivel... more Scarcity of natural resources including energy resources motivated many researchers to extensively study the association between energy usage and country's economic growth. Therefore, this article is also an attempt to examine causal relationship between energy consumption and GDP in the long and short run of two developing countries of Asia. Empirical results driven from co-integration and vector error correction (VECM) analysis reveal that unidirectional causality in the long run is running from GDP to energy consumption in both India and Pakistan. Furthermore, researcher fails to identify any short causality (neutrality effect) between two variables in Pakistan, whereas bidirectional (feedback effect) causality in the short run for India was established. These results have significant policy implications for concerned countries. The outcomes recommend that both countries can openly initiate energy conservation methods and procedures in the long run and can go for a well-adjusted group of alternative strategies and polices for energy consumption and economic growth in the short run.
A healthy banking industry plays a vital role in the economic stability, and banks success depend... more A healthy banking industry plays a vital role in the economic stability, and banks success depends on its products. Therefore, this study aims at cognizing the consumer's preference and awareness of Islamic Ijarah over the conventional lease in Pakistan. This research used regression as tools of analysis. The findings indicate that convenience is the prime determinant for preference of Ijarah over the lease. Moreover, all other factors except religion also support in the motivate selection of Islamic banking products. Therefore, it can be concluded that in Pakistan, religion is not the only fact motivates individuals to prefer Ijarah. Based on findings, it is recommended to relevant stakeholders to create more awareness among masses about Ijarah and to further ease out policies in order to harness optimum benefit.
In today's volatile financial world Mutual Funds provide professionally managed, safe and less ri... more In today's volatile financial world Mutual Funds provide professionally managed, safe and less risky option for investment to the investors, that's why throughout the world Mutual Funds are an attractive and most invested option of investment. But in Pakistan Mutual Funds are a relatively new market, less research and less known option by the investors. Therefore, the main purpose of this research project is to analyze different demographic factors that impact an investor's awareness level towards mutual funds and to analyze different factors that shape the investor's perception and their inclination of investment in mutual funds. Quantitative research method is used in this research with a sample of 150 respondents. Based on the sample responds it is found that different demographic factors such as age and education level play a significant role in increasing the awareness of investors about the investment options. Whereas the factors like transparency, fund's reputation and risk management are involved in shaping the investor's perception. This research can help mutual funds organization to better understand the perception of investors towards mutual funds.
Monetary transmission mechanism assumed to be significantly influenced by the effect of policy de... more Monetary transmission mechanism assumed to be significantly influenced by the effect of policy decisions on financial markets. However, various previous studies have come up with different outcomes. The purpose of this study is to examine the impact of monetary policy on different asset classes (shares and bonds) in Pakistan. This study using stock price and bond yield as dependent variable and discount rate, money supply, inflation, and exchange rate are independent variables. Data of all variables have collected from 2010 to 2016, and Vector Autoregressive (VAR) technique has applied. The empirical results indicate that there is an impact of monetary policy components on both stock and bond market as an increase in policy rate causes decline in stocks prices and bonds yields. The findings of this study will help the potential investors in making long-term (in general) and short-term (in particular) investment strategies concerning monetary policy.
Investor’s irrationality is an inevitable reality that has been time and again highlighted by res... more Investor’s irrationality is an inevitable reality that has been time and again highlighted by researchers (Statman, 2008). Therefore, this study is another effort to assess the role of behavioral biases in financial decision making in Pakistan Stock Exchange (PSX). A survey questionnaire is designed and used to collect responses using convenience sampling technique from sample of 250 investors of PSX. Behavioral biases include overconfidence, over thinking, herding, cognitive bias, and hindsight effect of investors. Multiple regression models are used to test influence of five behavioral biases on investment decision. The results show that overconfidence, over thinking, herding, cognitive bias, and hindsight effect have significant positive impact on investment decision. Overall results conclude that much change in investment decision is due to behavioral biases. This study will help financial advisors to better advice their clients. The one way to reduce these biases may be education and training of investors.
Purpose: There is extensive international evidence that contrarian strategy yields positive abnor... more Purpose: There is extensive international evidence that contrarian strategy yields positive abnormal returns for long-term periods. However, this topic has received scarce attention in Pakistan. This research study in line with De Bondt and Thaler (1985) examines the winner-loser anomaly on Karachi Stock Exchange (KSE) using cumulative abnormal returns (CAR). Design/Methodology: To substantiate the purpose, this study has calculated cumulative abnormal returns (CAR) of each company listed on KSE for a period of 2000-2015 and constructed both the corresponding Equally Weighted and Value Weighted portfolios returns. To check the risk adjusted performance of these portfolios, a system-based estimation via the Generalized method of moments (GMM) with Newey-West standard errors corrected for heteroscedasticity and serial correlation is employed. Findings: This study reports significant evidence of Contrarian Investment strategies in KSE over the entire sample period. Results show that both Equally Weighted and Value Weighted portfolios formed on CAR generates abnormal returns of 9.89% and 3.64% per annum in the long run on KSE. Further a system of equations based on Generalized Methods of Moments (GMM) showed that Capital Asset Pricing Model (CAPM) is misspecified in case of KSE as it fails to explain the cross-sectional variation in portfolios returns based on contrarian investment strategies but 3-factor and 5-factor (Fama and French, 1996;2016) have explained their risk-adjusted abnormal return. Research Limitation/Implications: The study can be improvised by including other fundamentals and macroeconomic variables and determining their impact on contrarian investment strategies in different sectors and markets of Pakistan. Practical Implications: Policymakers and Investors need to take in to account contrarian investment strategies for evaluating asset returns. Contrarian Investment strategies are profitable in the long run on KSE and investors when taking their portfolio selection decisions can long the portfolios with lowest CAR value shares and short the higher CAR values portfolios. Originality/Value: The study aims to make the first attempt in investigating the risk adjusted performance of portfolios based on contrarian strategies by using not only CAPM but also 3-factor and 5-factor Fama and French (1996;2016) on Karachi Stock exchange.
This study was carried out to find out the effects of PI on the pre-service teachers' learning of... more This study was carried out to find out the effects of PI on the pre-service teachers' learning of current electricity. The choice of pre-service teachers is hinged on the importance role teachers play in the student's learning of sciences in schools. The study adopted pretest-posttest quasi-experimental design. 42 students of a College of Education in Nigeria were purposively sampled for the study. Two research questions were answered. Data were collected through Current Electricity Physics Assessment (CEPA) and the Peer Instruction Dialogical Argumentation Questionnaire (PIDAQ). The collected data were analyzed using the descriptive statistics and Analysis of Covariance (ANCOVA). Findings revealed that there is no significant difference in academic performance of students taught with the PI and those with the lecture method. Besides, PI improve students understanding in current electricity and students have many misconceptions in current electricity. The study made some recommendations.
Stock exchange plays a vital role to elevate the long-term funds for primary market and provide a... more Stock exchange plays a vital role to elevate the long-term funds for primary market and provide a platform for trading securities to secondary market. Basically, it gives a relieve and help to build investments option for investors and generate important signs for economic policy makers about their decisions which relates to interest rates, taxes, currency and other sectors of the economy. The aim of this investigation is to find the effect of macroeconomic variables (interest rate, exchange rate, gross domestic product, and inflation rate) on stock prices in Pakistan stock market, by applying the panel unit root test and panel least square method on time series data for the period of 2007 till 2016, which is assembled from World Bank, IFS and State Bank website. This research focuses on four sectors (Fertilizer, Oil and Gas Exploration Companies, Pharmaceuticals and Cement) which comprise of 42 companies. Augmented Dickey Fuller (ADF) and Phillips-Perron (PP) test were applied to the stationary of the economic variables. Then panel least square was applied to on four sectors to determine the relationship between dependent and independent variables, i.e. macroeconomic variables and stock prices, it was concluded that, all the independent variables i.e. exchange rate, gross domestic product, inflation and interest have a significant impact on the stock prices of the selected industries. This study helps investors and policy makers to better understand the relationship between economics variable and stock market.
The paper examines the impact of behavioural biases (i.e. cognitive and emotional biases) on inve... more The paper examines the impact of behavioural biases (i.e. cognitive and emotional biases) on investor decisions at the Pakistan Stock Exchange. The data was collected from a sample of 385 active investors in the stock market through a pre-tested questionnaire adapted from Chaffai & Medhioub (2014). The results suggest that five behavioural biases (i.e. anchoring, risk aversion , overconfidence, representativeness and regret aversion) have a positive and significant influence on investor decisions in Pakistan. On the contrary, two behavioural biases (i.e. mental accounting and availability) do not have a statistically significant impact on investor decisions. The findings imply that behavioural factors have a profound effect on investor decisions as argued by behavioural finance theorists.
GDP represents the economic growth of a country. Higher GDP growth is translated as higher econom... more GDP represents the economic growth of a country. Higher GDP growth is translated as higher economic growth. In case of Pakistan, the GDP is conti nuously going down due to some macroeconomic factors. This is an alarming situati on for the Pakistani government. The main ambiti on of this study is to interrogate the four selected independent variables which impact on the GDP of a country and verify if the relati on holds in Pakistan. This study expects to ascertain the eff ects on GDP performance in short or long run of infl ati on, unemployment, foreign direct investment and import prices of goods and services. It uti lizes the data of the last 30 years for the Pakistani Economy i.e. the period of 1983 to 2012. Several stati sti cal techniques have been applied. Five SEM models were used to esti mate causal relati onships. The outcome of this research suggests that the government needs to pay att enti on (1) to the control of infl ati on through eff ecti ve and effi cient monetary policy, (2) to increase employment chances by the supporti ng and establishing new industries and (3) advancing infrastructure. Government of Pakistan should also support Pakistani export in order to decrease heavy import prices and always encourage foreign direct investments. These outcomes will be helpful in managing the economic growth rate of Pakistan.
The purpose of this study is to analyze which factors have influence on the satisfaction of custo... more The purpose of this study is to analyze which factors have influence on the satisfaction of customers in service sector which can ultimately affects organization’s profitability. This study attempts to examine the relationship between students’ satisfaction and others variables such as service quality, empathy and customer relationship management. The investigation is conducted both from a theoretical and empirical point of view after conducting a pilot study, the instrument was administered to 100 under graduate and postgraduates who were selected based on random sampling from the four private universities of Karachi, Pakistan. The analysis started with descriptive analysis followed by regression, correlation and reliability analyses. The empirical results of the relationships in this study provide support for the Hishamuddin study (2008), which identified the factors contributing to the satisfaction of students. The results verify that service quality and empathy has significant impact on the students’ satisfaction level, while female were found to be more satisfied. The outcomes of the study also showed positive relationship among all the three explanatory variables and dependent variable.
In this study, researchers aim is to study the perception of post-graduate students’ towards Isla... more In this study, researchers aim is to study the perception of post-graduate students’ towards Islamic finance or Islamic banking using religion, knowledge and quality of services as their independent variables. They collected primary data using questionnaire from 300 post-graduate students of different universities of three major cities of Pakistan i.e. Karachi, Lahore and Islamabad. Furthermore, they conducted statistical analysis of data using Cronbach’s Alpha Reliability, Regression, ANOVA and Correlation analysis. The results revealed that questionnaire is 88.4% reliable and all independent variables have significant, positive and moderate relationship with dependent variable. In the conclusion, the study elucidate that Islamic finance is gaining popularity with the passage of time and has a great opportunity in to grow and prosper in Pakistan.
Purpose-Purpose of this study is to investigate the determinants of optimal capital structuring t... more Purpose-Purpose of this study is to investigate the determinants of optimal capital structuring that affect growth and financing behavior of textile sector firms in Pakistan keeping in view the important role capital structuring plays in any firm's financial management decisions and the positive contribution it makes to the creation of firms' value and profitability. Methodology/sample-Size of the firm (capital), profitability, fixed assets structure and taxes were used as control variables to investigate the determinants of optimal capital structuring of textiles companies. A sample size of 90 textile companies across the country were selected and their data for the 2005 -2010 period was used. The determinants of optimal capital structure were examined using correlation and regression analyses. F-value was calculated to test the fitness of overall model. Findings-Results of the study showed a negative relationship between dependent variable financial leverage and independent variables. The statistical analysis of spinning and composite unit also showed consistency of results with the overall textile sector but outcome of weaving unit showed a significantly positive relationship between dependent and independent variables. Practical Implications-The findings enhance the knowledge base of determinants optimal capital structure and are likely to help companies take effective decision related to capital structure needs. Furthermore, the study is likelly to help the decision makers better adjust themselves towards adopting and considering proficient ways of managing capital structure of a firm.
Purpose- Major aim of this study was to evaluate the impact of price hike and purchasing power on... more Purpose- Major aim of this study was to evaluate the impact of price hike and purchasing power on sugar consumption pattern of individuals in Pakistan. The constant rising prices of food commodities including sugar, and the sugar crises the country mostly is seen caught into prompted researcher to conduct this study.
Methodology/sample- The study involved use of questionnaires filled by 240 respondents and financial data of three sugar mills for the period of 2010-11 for financial analysis. The respondent individuals belonged to different age groups, social classes and areas of residence. To analyze the data, Regression, ANOVA and Correlation tests were applied. Data from three different sugar
mills from three different provinces of Pakistan was also collected and financial analysis of their annual reports was conducted to determine their growing profits.
Findings- The analysis and comparative results clearly suggested that individuals in Pakistan have decreased their sugar consumption due to increasing prices, while sugar mills are earning huge profits. It was also concluded that higher profits earned by the sugar mills was due to artificial shortage created by cartel making by the sugar mill owners in Pakistan.
Practical Implications- The outcomes of the research might help the corporate decision makers, government policy formulators and other related quarters to understand the impact of rising prices of commodities in Pakistan and to understand the overall dynamics and mechanism of sugar sector in Pakistan.
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Papers by Imran Umer Chhapra
Methodology/sample- The study involved use of questionnaires filled by 240 respondents and financial data of three sugar mills for the period of 2010-11 for financial analysis. The respondent individuals belonged to different age groups, social classes and areas of residence. To analyze the data, Regression, ANOVA and Correlation tests were applied. Data from three different sugar
mills from three different provinces of Pakistan was also collected and financial analysis of their annual reports was conducted to determine their growing profits.
Findings- The analysis and comparative results clearly suggested that individuals in Pakistan have decreased their sugar consumption due to increasing prices, while sugar mills are earning huge profits. It was also concluded that higher profits earned by the sugar mills was due to artificial shortage created by cartel making by the sugar mill owners in Pakistan.
Practical Implications- The outcomes of the research might help the corporate decision makers, government policy formulators and other related quarters to understand the impact of rising prices of commodities in Pakistan and to understand the overall dynamics and mechanism of sugar sector in Pakistan.
Methodology/sample- The study involved use of questionnaires filled by 240 respondents and financial data of three sugar mills for the period of 2010-11 for financial analysis. The respondent individuals belonged to different age groups, social classes and areas of residence. To analyze the data, Regression, ANOVA and Correlation tests were applied. Data from three different sugar
mills from three different provinces of Pakistan was also collected and financial analysis of their annual reports was conducted to determine their growing profits.
Findings- The analysis and comparative results clearly suggested that individuals in Pakistan have decreased their sugar consumption due to increasing prices, while sugar mills are earning huge profits. It was also concluded that higher profits earned by the sugar mills was due to artificial shortage created by cartel making by the sugar mill owners in Pakistan.
Practical Implications- The outcomes of the research might help the corporate decision makers, government policy formulators and other related quarters to understand the impact of rising prices of commodities in Pakistan and to understand the overall dynamics and mechanism of sugar sector in Pakistan.