Suchergebnisse

Indian economy : an overview -- Financial sector of India : pre-reforms period -- Financial sector of India : post-reforms period -- Capital market : evolution and present structure -- Capital market reforms -- Capital market instruments -- Price multiples : review of literature -- Equity valuation : theoretical framework -- Integration of financial markets -- Capital market and global financial crisis

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.

In this paper we studied the sectoral behavior of Indian capital market through relative valuation for a period over a period of 21 years. The period covered under the study is from 1990–2010. The study has been done both for a total period (1990–2010) and three sub-periods, viz. 1990–96, 1997–2003, 2004–10. The research finds that price multiple distributions tend to be non-normal prior to 2003. On post-2003 basis these sample distributions are approximately normal, thereby implying that mean and standard deviations are relevant descriptive statistic measures in the Indian context, for a more recent period. The study also finds that we cannot judge all the sectors by classifying them with single high or low price multiples. Different sectors tend to have different high and low multiples which stand true both for total period as well as for sub-periods.

In this article, we focus on net stock issues which is a relatively unexplored asset pricing anomaly. We examine the relationship between net stock issues and returns in the Indian context using data for BSE 500 stocks from 1995 to 2012. The relationship between size, value and momentum attributes and stock return is confirmed, which is consistent with prior literature. We specifically find a negative relationship between net stock issues and returns after controlling for other firm characteristics, thus implying that companies with larger public offerings provide lower post-event returns. The net stock issues attribute is empirically associated with size and value characteristics. Large firms and low price to book (P/B) or relatively distressed firms tend to make bigger public offerings. While the former may do it to finance business expansion plans, the latter rely more on external financing owing to weak earnings record. Our findings are pertinent for policymakers, market practitioners and academicians. The study contributes to equity market anomaly literature for emerging markets.

We examine the spillover effect from the Indian stock market to Mexico, Indonesia, Nigeria and Turkey (MINT) stock markets in order to check if suitable diversification opportunities are available to global portfolio managers investing in India. We apply Granger causality test, vector auto-regression (VAR) and dynamic conditional correlation (DCC)–MGARCH to investigate the level of integration between India and MINT economies. We observe bidirectional causality between India and Nigeria, unidirectional causality in Mexico and Indonesia, while no causality is found between India and Turkey. Our VAR results suggest that none of the MINT economies impact the return of the Indian stock market; rather returns of the Indian stock market are more affected by their own lagged values. Finally, by applying DCC–MGARCH, we observe that there is no volatility spillover from India to any of the MINT economies. We recommend that portfolio managers investing in the Indian economy may explore MINT economies as possible destinations to diversify their risk. Our study has implications for both academia and portfolio managers.

AbstractFinancial stress scales need to be incorporated into the borrower selection procedure before providing a loan. The three financial stress scales that we examined have strong correlations, but the two involving at least eight questions are better for discriminating between poor and rich. The financial stress indicator that separates male and female students the most is whether financial problems interfere with relationships with other people (interference is more for men). Older students are less satisfied with their financial position and seem to think that their parents worry more about disappointing them for materialistic reasons.