Changing Nature of the Value Premium in the Indian Stock Market

2018 ◽  
Vol 22 (2) ◽  
pp. 135-143 ◽  
Author(s):  
Harshita ◽  
Shveta Singh ◽  
Surendra S. Yadav
Keyword(s):  
Stock Market ◽  
Value Premium ◽  
Model Parameters ◽  
Capital Asset Pricing ◽  
Indian Market ◽  
Asset Pricing Model ◽  
Alternative Measures ◽  
Fama And French ◽  
Indian Stock Market ◽  
Over Time

The article aims to test whether the nature of value premium has changed over time in the Indian stock market. Contrary to the existing literature on the Indian market, the analysis suggests that post the global crisis, the value premium has nearly ceased to exist. Using price-to-book (P/B) ratio as the proxy, the findings are robust to employing capital asset pricing model (CAPM) and the Fama and French three-factor (FF) model, and five alternative measures of returns: equal-weighted (whole and trimmed sample) and value-weighted (whole, trimmed and winsorized sample). Chow test suggests that the model parameters have changed over time. While the decrease in premium has been discovered for other countries, there was no such study in the Indian context. This is the first attempt of its kind. The findings have important implications for academia and investors.

Application of CAPM in the Indian Stock Market A Comprehensive Reassessment

2005 ◽  
Vol 1 (2) ◽  
pp. 1-12 ◽  
Author(s):  
Raj S. Dhankar ◽  
Rohini Singh
Keyword(s):  
Stock Market ◽  
Capital Market ◽  
Stock Exchange ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Conflicting Evidence ◽  
Empirical Tests ◽  
Indian Stock Market

There is conflicting evidence on the applicability of Capital Asset Pricing Model in the Indian stock market. Data for 158 stocks listed on the Bombay Stock Exchange was analyzed using a number of tests from 1991–2002, the period which roughly coincides with the period after liberalization and initiation of capital market reforms. Taken in aggregate the various empirical tests show that CAPM is not valid for the Indian stock market for the period studied.

Four-moment CAPM Model: Evidence from the Indian Stock Market

2019 ◽  
Vol 18 (1_suppl) ◽  
pp. S137-S166
Author(s):  
Dheeraj Misra ◽  
Sushma Vishnani ◽  
Ankit Mehrotra
Keyword(s):  
Factor Model ◽  
Jel Classification ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Model Evidence ◽  
Fama And French ◽  
Capm Model ◽  
Indian Stock Market ◽  
The Impact

This study aims at analysing the impact of co-skewness and co-kurtosis on the returns of the Indian stocks by incorporating co-skewness and co-kurtosis in the traditional capital asset pricing model (CAPM) of Sharpe, in a three-factor model of Fama and French and in a four-factor model of Carhart. The results of the study show that co-skewness and co-kurtosis have significant impact on the returns of the Indian stock. However, the impact of co-skewness is higher than co-kurtosis. JEL Classification: G11, G12

scholarly journals Random Walk Investigation in Indian Market with special reference to S&P Nifty – Fifty Stocks

2015 ◽  
Vol 4 (4) ◽  
pp. 52-61
Author(s):  
Tamilselvan Manickam ◽  
R Madhumitha
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Empirical Support ◽  
Weak Form ◽  
Indian Market ◽  
Price Series ◽  
Stock Market Efficiency ◽  
Indian Stock Market ◽  
Weak Form Efficiency

The competence of a financial system is entirely depending upon the stock market efficiency. The gradual growth of equity investor’s participation is inevitable to enrich the overall growth of emerging economies.Hence the necessity is felt to provide an empirical support to the investing community. For the purpose, this study attempts to examine the weak-form efficiency of Indian stock market – National Stock Exchange (NSE). The study has used the daily closing price of the Nifty fifty stocks from 3rdJanuary 2011 to 24thApril 2015. To test the weak form efficiency both parametric and non-parametric tests called Autocorrelation, Augmented Dicky Fuller test, and Runs Test were performed.  The study reveals that 39 stocks of NSE-Nifty Fifty are found to be weak form inefficient, so that the investors can formulate trading strategies to gain abnormal returns. The Index and 10 stocks are found to be weak form efficient during the study period since the price series found to be autocorrelation existence.

scholarly journals Responsible or Thematic? The True Nature of Sustainability-Themed Mutual Funds

2019 ◽  
Vol 11 (12) ◽  
pp. 3304 ◽  
Author(s):  
Federica Ielasi ◽  
Monica Rossolini
Keyword(s):  
Mutual Funds ◽  
Factor Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Socially Responsible ◽  
True Nature ◽  
Asset Pricing Model ◽  
Fama And French ◽  
Better Than

The aim of the paper is to compare the risk-adjusted performance of sustainability-themed funds with other categories of mutual funds: sustainable and responsible mutual funds that implement different approaches in portfolio selection and management, and thematic funds not committed to responsible investments. The study analyses a sample of about 1000 European mutual open-end funds where 302 are sustainability-themed funds, 358 are other responsible funds, and 341 other thematic funds. Risk-adjusted performance is analyzed for the period 2007–2017 using different methodologies: a single factor Capital Asset Pricing Model (CAPM), a Fama and French (1993) 3-factor model, and a Fama and French (2015) 5-factor model. Our main findings demonstrate that the risk-adjusted performance of ST funds is more closely related to their responsible nature than to their thematic approach. Sustainability-themed mutual funds are more similar to other socially responsible funds than to other thematic funds, as confirmed by performance analysis over time. They are also better than other thematic funds in overcoming financially turbulent periods and currently benefit from SRI regulation and disclosure.

Friday the 13th effect on Indian stock market

2020 ◽  
Vol 07 (02) ◽  
pp. 2050010
Author(s):  
Tarika Singh Sikarwar ◽  
Karuna Shrivastava ◽  
Pratibha Jadon
Keyword(s):  
Stock Market ◽  
Design Methodology ◽  
Stock Exchange ◽  
Emerging Market ◽  
Indian Market ◽  
Study Results ◽  
Developed Nations ◽  
Indian Stock Market ◽  
Work Done ◽  
Practical Implications

Purpose: This paper attempts to investigate the presence of Friday the 13th Effect in the Indian stock market. Design/methodology/approach: This paper tests the presence of the Friday the 13th Effect using different sets of hypotheses for 7 days, 15 days and normal versus Friday the 13th by using statistical methods. Findings: The findings of the study do not support the presence of Friday the 13th Effect for all cases. There are few months for certain specific years where the effect was seen. Research limitations/implications: The Friday the 13th effect has been examined for two major indices of the Indian market, i.e., the Bombay Stock Exchange Index SENSEX and the National Stock Exchange Nifty Fifty Index. However, there are other major and sectoral indices as well where in the effect may be checked. Practical implications: The study results indicate that Indian stock market shows phased anomaly. The effect of Friday the 13th is seen only in some cases during certain years only. Originality/value: Friday the 13th effect has been mostly checked for developed nations and again there has been less work done with respect to this particular market anomaly. The present research is an original work done for emerging market naming India.

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