Paper Title
A Comparative Analysis of Stock Returns on Large and Small Tickets: An Empirical Analysis from Karachi Stock Exchange

This study intended to conduct a comparative analysis of stock returns on large and small tickets: an evidence from Karachi stock exchange. The purpose of the study is to investigate the large cap’ returns lead the small cap returns, to explore the small cap’ returns lead the large cap returns and to identify either the difference exists between returns of large and small firms or not. In this research, the sample contains 145 companies listed at Karachi Stock Exchange from 2004-2013. The Ordinary Least Square method has been used widely in explaining the returns of equity securities. Certain studies have shown that it has superior predictive ability. The research looked separately at the relationship of industry returns to each of the variables in the model – small cap portfolios and large cap portfolios. Study examined the general lead-lag relation of small and large cap portfolios and got the confirmation of the large cap portfolio returns lead small cap portfolio returns yet not the other way around. Analyzing the market-wide and portfolio-specific information effects on portfolio returns shows that above stated lead-lag relation is associated with the market-wide information content in lagged large cap portfolio returns. Index Terms - Karachi Stock Exchange, General Lead-Lag Structure, Market-wide and portfolio-specific information