Suchergebnisse

In this study, we measure and analyse the time-varying nature of risk exposures for the Indian banking industry using weekly bank-level data from 23 October 2004 to 1 August 2014. We extend the literature by studying credit, equity, interest rate and exchange rate risks following a more comprehensive framework. The study finds evidence that the risk exposures are time varying in nature and differ across banks with different characteristics. Equity risk and credit risk increase post the global financial crisis (GFC) while interest rate and exchange rate risk gets reduced. The capital market has a favourable view of small-sized, well-capitalized, well-diversified private sector banks. Furthermore, the results also show that asset size and ownership structure offer relevant information for differentiating banks regarding their riskiness. Large banks have more equity risk exposure; public sector banks have higher credit risks while private sector banks have greater interest rates and exchange rate risk exposure. The study offers valuable insights for the regulators, supervisors, policymakers, banking industry, bank managers, investors and academia. The main contribution is a better understanding of sources of banks' risks and needs to enhance the supervisory process in the Basel framework.

We combine corporate attributes and fundamental factors for evolving different investment strategies using data from 200 companies listed in the National Stock Exchange (NSE) from 2005 to 2018. The results indicate the existence of equity market anomalies based on size, volume, earnings, cash flow variability, asset growth, price momentum, price-to-book ratio and profitability. The performance of trading strategies is sensitive to portfolio construction procedure, that is, forming 5/10/20 portfolios. Bivariate strategies generally perform better than univariate strategies in the Indian context. On an overall basis, the size-based strategy performs best with a mean excess return of 3.63 per cent per month. We further find that corporate fundamentals such as profitability, operating efficiency, liquidity, solvency, innovation and entry barriers help in filtering poor future performers that may have been recommended by attributes-based strategy. Our filtered portfolios based on firm attributes and corporate fundamentals outperform unfiltered portfolios, and their returns are not explained by multi-factor performance benchmarks.