**Appendix A**

**Table A1.** CAPM regression on monthly excess returns of portfolios formed on size and B/M ratio (fixed basket and non-financial basket).


Note: Author's calculation. The table reports the estimation results of the CAPM (fixed and non-financial basket). Stocks are sorted into six size-B/M portfolios (SL, SM, SH, BL, BM, BH). *t*-stats are in parenthesis, \*\* and \* indicate significance at 5% and 1% level, respectively. The sample period is 2002:01–2015:12 (168 monthly observations). Source: the official website of the Pakistan stock exchange (https://www.psx.com.pk/) and the official website of the State Bank of Pakistan (http://sbp.org.pk/).


**Table A2.** Three factor regression on monthly excess returns of portfolios formed on size and B/M ratio (subperiods).

Note: Author's calculation. The table reports the estimation results of the three-factor model. Stocks are sorted into six size-B/M portfolios (SL, SM, SH, BL, BM, BH). *t*-stats are in parenthesis, \*\*\*, \*\* and \* indicate significance at 10%, 5% and 1% level, respectively. The sample period is 2002:01–2015:12 (168 monthly observations). Source: the official website of the Pakistan stock exchange (https://www.psx.com.pk/) and the official website of the State Bank of Pakistan (http://sbp.org.pk/).
