Equity Market Anomalies, VIX and Asset Pricing: Trading Strategies for India

2019 ◽  
Vol 67 (3-4) ◽  
pp. 279-298
Author(s):  
Asheesh Pandey
Keyword(s):  
Capital Market ◽  
Factor Model ◽  
Factor Models ◽  
Market Anomalies ◽  
Policy Makers ◽  
Time Diversification ◽  
Alpha Effect ◽  
Substantial Risk ◽  
Portfolio Managers ◽  
Using Data

In this article we examine five prominent equity anomalies, viz., size, value, profitability, investment and momentum for Indian capital market using data from July 2001 to June 2019. We test the sample anomalies through four prominent factor models and find that all the factor anomalies remain significant for India, however, size and value anomaly provide substantial risk adjusted returns to be exploited by portfolio managers. We further evaluate if the anomalies tend to reverse under different macro-economic uncertainty, which is proxied by VIX. We find barring Size effect none of the anomaly reverses under different macro-economic conditions. We further observe that Fama French three factor model subsumes the majority of the alpha effect, however, none of the factor models fully explain the alphas of sample anomalies. Finally, we find that few of the sample anomalies are countercyclical in nature and thus, provide time diversification opportunity. Profitability-size anomaly provides risk adjusted time diversification opportunity. Our results have significant implications for portfolio managers, policy makers and academia.

scholarly journals Equity market anomalies in major European economies

2021 ◽  
Vol 18 (2) ◽  
pp. 245-260
Author(s):  
Asheesh Pandey ◽  
Sanjay Sehgal ◽  
Amiya Kumar Mohapatra ◽  
Pradeepta Kumar Samanta
Keyword(s):  
Asset Pricing ◽  
Factor Model ◽  
Five Factor Model ◽  
Equity Market ◽  
Suitable Model ◽  
Investment Strategies ◽  
Economic Uncertainty ◽  
Market Anomalies ◽  
Time Diversification ◽  
Sharpe Ratios

This paper investigates five leading equity market anomalies – size, value, momentum, profitability, and asset growth, for four Western European markets, namely, Germany, France, Italy and Spain, from January 2002 to March 2018. The study tests whether these anomalies reverse under different macro-economic uncertainty conditions, and evaluates if strategies based on time diversification can be formed using these equity market anomalies. Market anomalies were tested using four major asset pricing models – the Capital Asset Pricing Model, the Fama-French three-factor model, the Carhart model, and the Fama-French five-factor model. Macro-economic uncertainty was tested using two proxies, namely VIX and default premiums. Time diversified strategies were examined by estimating Sharpe ratios of combined portfolios formed by combining winner univariate portfolios. Value effect in Germany, Size effect in France and Profitability effect in Italy and Spain provide the highest unadjusted returns on long side strategies. No significant reversal of these anomalies was found under different macroeconomic uncertainties. Asset pricing tests show that CAPM works well for Spain and Italy, while Carhart’s model explains returns in Germany. The Fama-French five factor model does not seem to be a good descriptor of asset pricing for data. No suitable model for explaining asset returns is identified for France. Finally, it is observed that some of the equity market anomalies seem to be countercyclical and therefore provide time diversification opportunities. The study has implications for academicians, investors, and policy makers by providing insights for developing profitable investment strategies and highlighting the efficacy of alternative models as performance benchmarks.

scholarly journals On ASEAN capital market and industry integration: A review.

2016 ◽  
Vol 13 (2) ◽  
pp. 8-22 ◽  
Author(s):  
Hung Quang Do ◽  
M. Ishaq Bhatti ◽  
László Kónya
Keyword(s):  
Bayesian Approach ◽  
Capital Markets ◽  
Capital Market ◽  
Market Integration ◽  
Factor Models ◽  
Policy Makers ◽  
Capital Market Integration ◽  
Country Level ◽  
Asean Countries ◽  
Industry Integration

Due to the benefits of investment diversification across markets and industries, and the increasing importance of ASEAN capital markets, this paper attempts to review recent studies on capital market integration and investment implications in six selected ASEAN countries. Several methodologies including VAR, GARCH, Copula and DCC, Bayesian approach, CAPM and factor models have been examined in this research. Most of the existing studies consider the capital market integration and its investment implications at a country level, whereas this paper attempts to extend the analysis to the industry level of integration. It also reviews the uses of a VARMA-MGARCH-asymmetric BEKK models to investigate the integration at industry levels in recommending investment diversification. The findings of this paper may provide guidance to academia, investors and policy makers on asset diversification.

scholarly journals Pengujian Kandungan Informasi Arus Kas Dan Laba Akuntansi Terhadap Return Saham: Studi Pada Perusahaan LQ45

2019 ◽  
Vol 1 (1) ◽  
pp. 51-59
Author(s):  
Samsul Hadi ◽  
Syahril Djaddang ◽  
Suyanto
Keyword(s):  
Stock Returns ◽  
Cash Flow ◽  
Capital Market ◽  
Stock Exchange ◽  
Relevant Information ◽  
Cash Flows ◽  
Market Anomalies ◽  
Accounting Earnings ◽  
Operating Cash Flow ◽  
Using Data

This study aimed to analyze the effect of changes in cash flow from operating activities, cash flows from investing avtivities, cash flow from financing activities and accounting earnings on stock returns in the Indonesian capital market. Research conducted on 15 companies listed in the LQ45 index in the Indonesia Stock Exchange (BEI). Observations were made for 4 years from 2011 to 2014. Data were analyzed using data panel analysis. The results show that operating cash flow and financing cash flow significantly influence stock returns. This means any increase in operating cash flow and in expenditures for financing activities followed by an increase in stock returns. Accounting earnings and cash flows have no significant effect on stock returns, since the accounting information and investment cash flows of the sample companies do not contain relevant information and market anomalies occur due to investor failure to understand accrual information, cash flow, market risk and conservatism.

From Bi-Dimensionality to Uni-Dimensionality in Self-Report Questionnaires

2020 ◽  
pp. 1-14 ◽  
Author(s):  
Bjarne Schmalbach ◽  
Markus Zenger ◽  
Michalis P. Michaelides ◽  
Karin Schermelleh-Engel ◽  
Andreas Hinz ◽  
...  
Keyword(s):  
Factor Model ◽  
Common Factor ◽  
Self Regulation ◽  
Model Fit ◽  
Self Report ◽  
External Criterion ◽  
Common Factor Model ◽  
Random Intercept ◽  
Using Data ◽  
Core Self

Abstract. The common factor model – by far the most widely used model for factor analysis – assumes equal item intercepts across respondents. Due to idiosyncratic ways of understanding and answering items of a questionnaire, this assumption is often violated, leading to an underestimation of model fit. Maydeu-Olivares and Coffman (2006) suggested the introduction of a random intercept into the model to address this concern. The present study applies this method to six established instruments (measuring depression, procrastination, optimism, self-esteem, core self-evaluations, and self-regulation) with ambiguous factor structures, using data from representative general population samples. In testing and comparing three alternative factor models (one-factor model, two-factor model, and one-factor model with a random intercept) and analyzing differential correlational patterns with an external criterion, we empirically demonstrate the random intercept model’s merit, and clarify the factor structure for the above-mentioned questionnaires. In sum, we recommend the random intercept model for cases in which acquiescence is suspected to affect response behavior.

Control of processing at multi-tool two-support setup

2020 ◽  
pp. 67-73
Author(s):  
N.D. YUsubov ◽  
G.M. Abbasova
Keyword(s):  
Degrees Of Freedom ◽  
Factor Model ◽  
Angular Displacement ◽  
Factor Models ◽  
Technological System ◽  
Displacement Control ◽  
Model Accuracy ◽  
Six Degrees Of Freedom ◽  
Angular Displacements ◽  
And Control

The accuracy of two-tool machining on automatic lathes is analyzed. Full-factor models of distortions and scattering fields of the performed dimensions, taking into account the flexibility of the technological system on six degrees of freedom, i. e. angular displacements in the technological system, were used in the research. Possibilities of design and control of two-tool adjustment are considered. Keywords turning processing, cutting mode, two-tool setup, full-factor model, accuracy, angular displacement, control, calculation [email protected]

Measurement invariance of the Center for Epidemiologic Studies Depression Scale in parents of individuals with disabilities

2019 ◽  
Vol 47 (10) ◽  
pp. 1-9
Author(s):  
Eun-Young Park ◽  
Joungmin Kim
Keyword(s):  
South Korea ◽  
Measurement Invariance ◽  
Factor Model ◽  
Panel Study ◽  
Depression Scale ◽  
Epidemiologic Studies ◽  
Fit Indices ◽  
Chi Square ◽  
Using Data ◽  
Invariance Model

We aimed to verify the factor model and measurement invariance of the abbreviated Center for Epidemiologic Studies Depression Scale by conducting a confirmatory factor analysis using data from 761 parents of individuals with intellectual disabilities who completed the scale as part of the 2011 Survey on the Actual Conditions of Individuals with Developmental Disabilities, South Korea, and 7,301 participants from the general population who completed the scale as part of the 2011 Welfare Panel Study and Survey by the Ministry of Health and Welfare, South Korea. We used fit indices to assess data reliability and Amos 22.0 for data analysis. According to the results, the 4-factor model had an appropriate fit to the data and the regression coefficients were significant. However, the chi-square difference test result was nonsignificant; therefore, the metric invariance model was the most appropriate measurement invariance model for the data. Implications of the findings are discussed.

scholarly journals Small firms and the COVID-19 insolvency gap

2021 ◽  
Author(s):  
Julian Oliver Dörr ◽  
Georg Licht ◽  
Simona Murmann
Keyword(s):  
Financial Distress ◽  
Small Firms ◽  
English Summary ◽  
Policy Support ◽  
Policy Response ◽  
Special Role ◽  
Current Crisis ◽  
Policy Makers ◽  
Large Wave ◽  
Using Data

AbstractCOVID-19 placed a special role on fiscal policy in rescuing companies short of liquidity from insolvency. In the first months of the crisis, SMEs as the backbone of Germany’s economy benefited from large and mainly indiscriminate aid measures. Avoiding business failures in a whatever-it-takes fashion contrasts, however, with the cleansing mechanism of economic crises: a mechanism which forces unviable firms out of the market, thereby reallocating resources efficiently. By focusing on firms’ pre-crisis financial standing, we estimate the extent to which the policy response induced an insolvency gap and analyze whether the gap is characterized by firms which were already struggling before the pandemic. With the policy measures being focused on smaller firms, we also examine whether this insolvency gap differs with respect to firm size. Our results show that the COVID-19 policy response in Germany has triggered a backlog of insolvencies that is particularly pronounced among financially weak, small firms, having potential long-term implications on entrepreneurship and economic recovery.Plain English Summary This study analyzes the extent to which the strong policy support to companies in the early phase of the COVID-19 crisis has prevented a large wave of corporate insolvencies. Using data of about 1.5 million German companies, it is shown that it was mainly smaller firms that experienced strong financial distress and would have gone bankrupt without policy assistance. In times of crises, insolvencies usually allow for a reallocation of employees and capital to more efficient firms. However, the analysis reveals that this ‘cleansing effect’ is hampered in the current crisis as the largely indiscriminate granting of liquidity subsidies and the temporary suspension of the duty to file for insolvency have caused an insolvency gap that is driven by firms which were already in a weak financial position before the crisis. Overall, the insolvency gap is estimated to affect around 25,000 companies, a substantial number compared to the around 16,300 actual insolvencies in 2020. In the ongoing crisis, policy makers should prefer instruments favoring entrepreneurs who respond innovatively to the pandemic instead of prolonging the survival of near-insolvent firms.

A Comparison of Two Five-Factor Model Operationalizations of the Triarchic Model of Psychopathy in a Clinical Sample

Assessment ◽  
2021 ◽  
pp. 107319112110061
Author(s):  
Jared R. Ruchensky ◽  
M. Brent Donnellan ◽  
Christopher J. Hopwood ◽  
John F. Edens ◽  
Andrew E. Skodol ◽  
...  
Keyword(s):  
Negative Affect ◽  
Personality Traits ◽  
Convergent Validity ◽  
Factor Model ◽  
Clinical Sample ◽  
Five Factor Model ◽  
Neo Personality Inventory ◽  
Neo Personality Inventory Revised ◽  
Using Data ◽  
Triarchic Model

Structural models of personality traits, particularly the five-factor model (FFM), continue to inform ongoing debates regarding what personality attributes and trait domains are central to psychopathy. A growing body of literature has linked the constructs of the triarchic model of psychopathy (boldness, meanness, disinhibition) to the FFM. Recently, researchers developed both item and regression-based measures of the triarchic model of psychopathy using the NEO Personality Inventory–Revised—a popular measure of the FFM. The current study examines the correlates of these two FFM-derived operationalizations of the triarchic model using data from the Collaborative Longitudinal Personality Disorders Study. The two approaches had strong convergent validity coefficients and similar patterns of criterion-related validity coefficients. Meanness related to greater personality pathology characterized by exploitation of others and poor attachment, whereas disinhibition related to indicators of greater negative affect and poor behavioral constraint. Boldness related to reduced negative affect and greater narcissistic personality traits. Although the item and regression-based approaches showed similar patterns of associations with criterion-variables, the item-based approach has some practical and psychometric advantages over the regression-based approach given strong correlations between the meanness and disinhibition scores from the regression approach.

scholarly journals Choosing Factors for the Vietnamese Stock Market

2021 ◽  
Vol 14 (3) ◽  
pp. 96
Author(s):  
Nina Ryan ◽  
Xinfeng Ruan ◽  
Jin E. Zhang ◽  
Jing A. Zhang
Keyword(s):  
Stock Returns ◽  
Factor Model ◽  
Five Factor Model ◽  
Explanatory Power ◽  
Factor Models ◽  
Marginal Contribution ◽  
Return On Equity ◽  
Factor Modeling ◽  
Three Factor ◽  
Better Than

In this paper, we test the applicability of different Fama–French (FF) factor models in Vietnam, we investigate the value factor redundancy and examine the choice of the profitability factor. Our empirical evidence shows that the FF five-factor model has more explanatory power than the FF three-factor model. The value factor remains important after the inclusion of profitability and investment factors. Operating profitability performs better than cash and return-on-equity (ROE) profitability as a proxy for the profitability factor in FF factor modeling. The value factor and operating profitability have the biggest marginal contribution to a maximum squared Sharpe ratio for the five-factor model factors, highlighting the value factor (HML) non-redundancy in describing stock returns in Vietnam.

scholarly journals Adoption of Natural Gas Vehicles – Estimates for the U.S. and the State of Texas

2016 ◽  
Author(s):  
Chen (Sarah) Xu ◽  
Liang-Chieh (Victor) Cheng
Keyword(s):  
Natural Gas ◽  
Financial Incentives ◽  
Fossil Fuel ◽  
Diffusion Models ◽  
The State ◽  
Policy Makers ◽  
Fuel Taxes ◽  
Natural Gas Vehicles ◽  
Using Data ◽  
The U.S

Natural gas vehicles (NGV) have attracted more and more attention from policy makers since natural gas is a clean substitute for traditional fossil fuel that is also readily accessible. In some areas such as the state of Texas, vehicles that do not use traditional fossil fuel (e.g., NGVs) are exempt from paying fuel taxes. Government financial incentives have motivated substantial adoption of NGVs. This paper studies NGV adoption behavior in both U.S. and Texas markets to estimate the dynamics of NGV diffusion. This research employs well-known Bass diffusion models applied to NGV adoption, using data from both the U.S. and Texas. Among several interesting results, we find that NGV adoption through an imitation effect appears to be significant for the U.S. NGV market.

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