Syed Ghualam Mustafa Syed Ghulam Mustafa s.ghulam.mustafa@hotmail.com
MS ( Economics & Finance)
IIIE, IIUI.
0923335362834
It is not very creative. However, CAPM and FF are standard models and I do not know of any applications in Pakistan. I think it is good enought for a Master's thesis. The contribution is empirical rather than theoretical. You will see if the models hold in Pakistan. You can also put on a web page the factor loads he calculates for other researchers to use, and cite your university. Have a look at French's web site. He has them for US, UK and some other countries but not for Pakistan if I remember correctly.
The estimation technique is pretty standard. I am not sure about the quantile regressions he is proposing and how they will contribute to the estimations.
Best wishes
Professor, Cass Business School
City University of London.