The study aims to asses Pastor & Stambaugh model on Pakistan Stock Exchange (KSE-100 Index) from 2007 to 2017. Four commonly asset pricing factors are tested including market risk, size, value and liquidity premium. Except for the value premium, all factors are statistically found significant. Pertinent to mention that liquidity factor is initially found insignificant since annual returns are calculated. H owever, after taking most liquid sector during the period (Chemical Sector) the liquidity measure is derived through monthly returns. The result of the study is backed with Utility preference theory because it is observed that investors do prefer more liquid stocks and as a result when pricing securities liquidity factor holds an important position.

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KSE –使用牧师和斯坦博模型的100指数交易频率

该研究旨在评估2007年至2017年在巴基斯坦证券交易所（KSE-100指数）的Pastor＆Stambaugh模型。测试了四个常见的资产定价因素，包括市场风险，规模，价值和流动性溢价。除价值溢价外，所有因素在统计学上都认为是重要的。值得一提的是，由于计算了年度收益，因此最初发现流动性因素不重要。但是，在此期间（化学行业）采用了大多数流动性部门之后，流动性度量是通过月收益率得出的。这项研究的结果得到效用偏好理论的支持，因为据观察，投资者确实更喜欢流动性较高的股票，因此，在对证券流动性因子进行定价时，这一点很重要。