Asset Pricing in Indian Stock Market PDF Download

Author: Sanjay Sehgal
Publisher:
ISBN: 9788177080797
Category : Business & Economics
Languages : en
Pages : 0

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Book Description
"This book empirically shows that the multi-factor asset pricing models, like the Fama-French model, provide a better description of average stock returns compared to the more widely accepted capital asset pricing model (CAPM). It is suggested that the market practitioners should re-design their investment management tool box by replacing CAPM with the Fama-French model for industry applications such as cost of capital estimation, corporate valuation, estimating fair rates of return, assessing stock market efficiency and portfolio performance evaluation. It is also revealed that size-based, value-based, reversal-based and momentum-based trading strategies do not provide extra-normal returns in India. The book will be a useful reference for mutual fund managers, portfolio managers, financial consultants and investors at large. Academicians and students in the area of investment management and corporate finance can also benefit from it."

Author: Mobin Anwar
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description
Prediction of price fluctuations has always been interesting for academicians, practitioners and investors. However, price fluctuations can never be exactly predicted, but some trends can be drawn in price fluctuations. The first landmark in stock pricing was Capital Asset Pricing Model (CAPM) given by William Sharpe in 1964. After that a deluge of pragmatic evidence came up and challenged the CAPM. Despite being criticized by several researchers, CAPM became a basis for the development of other models. Fama and French gave a three-factor model and claimed that it better explains the price fluctuations of stocks than CAPM, and the anomalies of CAPM are captured by the three-factor model. The present study is an attempt to find the explanatory power of Fama and French three-factor model in the Indian stock market and covers the period from April 1, 2009 to March 31, 2016. The Fama and French three-factor model failed to capture the individual asset returns. On the other hand, it explains the portfolio asset returns sorted on the basis of size and value. A significant effect of market risk premium, size premium and value premium was detected on the returns of the assets.

Author: Supriya Maheshwari
Publisher:
ISBN:
Category :
Languages : en
Pages : 21

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Book Description
Emerging stock market returns have been extensively studied by academic community over the past two decades. However, there is still no consensus among the researchers and practitioners as to which asset pricing models should be used to explain returns in these markets. The basic objective of the study is to evaluate the power and performance of multi-factor asset pricing models (three and four factor model) over the traditional one factor CAPM, using the data from one of the fastest growing emerging market: India. The study using a large sample data of 470 listed stocks over a period of 16 years stretching from January 1997 to March 2013, evaluate the relevance of Fama and French three factor model as well as liquidity augmented four factor model in explaining the stock return variations in the Indian stock market. The study employs time series regression approach to examine the impact of market risk, size risk, value risk and liquidity risk on stock returns. The overall results of the study provide support to the multi-dimensional nature of risk and suggest the use of multi-factor asset pricing models for consideration in investment decisions. Both Fama and French three factor model and liquidity augmented four factor model were found to be superior than traditional one factor CAPM. Though, liquidity augmented four factor model was found to be slightly better in explaining Indian stock returns as compared to Fama and French three factor model.

Author: Yash Chauhan
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description
Investor behaviour has for long been a topic of interest for economists, portfolio managers and several other market participants who are keen to ascertain the role of investor psychology in market microstructure and price discovery process. Literature on financial economics suggests that market participants tend to suppress their own information and try to imitate others in the market, thereby herding against their private information. This tendency is attributed to risk aversion characteristic of economic agents that rely more on short cuts and heuristics in order to avoid risk of losing time required to incorporate private information. Such a tendency also results in the asymmetric expected returns on assets. We attempt to find empirical evidence of herding in two different cross-sections of financial markets using cross-sectional deviations of stock returns to measure the dispersion of individual stock returns from average market return. Using a unique dataset of daily stock returns from January 2011 to December 2015, we examine the small and large-cap stocks for the effect of herding. We study the existence of herding in two cross-sections of stocks in the Indian stock market and show that stocks with robust fundamentals observe little or negligible evidence of herding while vulnerable stocks are evidently found to be affected by herding. While examining herding, we show whether the cross-sectional dispersion of stock returns in large-cap stocks are lower compared to that in small-cap stocks, implying stocks with higher market cap and trading volume are less prone to herding.

Author: Amanullah S
Publisher:
ISBN: 9785108570105
Category :
Languages : en
Pages : 0

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Book Description
Stock market plays a more vital role in a nation's economy than just mobilize new capital A healthy national stock market has been considered essential to national economic growth due to its different bundle of crucial services that stimulate the accumulation of capital and contribute to improvements in productivity. An efficient market, with a good banking system, thus enables not only to promote economic growth but also to predict it. Indicators such as capitalization, liquidity, asset pricing and turnover relating to stock market operations have been used to understand whether a national economy is proceedingon sound lines or not. Further, economic development also induces stock market development which in turn provides the means to predict future rates of growth in capital, productivity and per capita GDP.

Author: Shveta Singh
Publisher: Springer
ISBN: 981100868X
Category : Business & Economics
Languages : en
Pages : 208

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Book Description
The book presents a comprehensive view of the Indian equity markets over the past two decades (1994-2014). Equity markets constitute the most important segment of stock exchanges; in fact, the status of equity returns is, by and large, considered as a barometer of the state of a country’s economy. Returns earned by the equity investors on their funds invested in equity markets have become a decisive factor in the growth of such markets. In this context, the book discusses all the major aspects of equity returns and also conducts a dis-aggregative analysis based on underlying factors like age, size, ownership structure, industry affiliation/sector, among others, to explain the factors affecting returns and risk. While on the one hand the study ascertains the market rates of return (earned) on equities from the investors’ perspective (by including both the capital gains and the dividend income), it also shows how to compute the rates of returns on equities from the corporate perspective (that is, rate of return earned on equity funds). It further assesses the required/expected rate of return and examines the volatility in stock returns, with a focus on its behaviour during the period of the study. It deepens investors’ understanding of equity investment, helping them to make more-informed investments. While of interest to the investor community, this book also contributes significantly to the existing literature on market returns and is a valuable reference resource for academics, researchers and market participants, financial institutions and other intermediaries, regulators and policy makers.

Author: Leonard Zacks
Publisher: John Wiley & Sons
ISBN: 1118127765
Category : Business & Economics
Languages : en
Pages : 352

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Book Description
Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.

Author: Mobin Anwar
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description
The volatile behavior of price of capital assets is always interesting for different stakeholders of capital markets. It is fluctuation in the price of the asset which is responsible for the capital gain or loss of the investor. What a sensible investor wants, is a model that will predict the rise and fall of price of securities up to a greater degree. A significant milestone in the journey of prediction of price of securities was Capital Asset Pricing Model (CAPM) in 1964. After CAPM, there was a flood-like situation in the literature of asset pricing models. Fama and French (1993) proposed three-factor model, which is an extension of the conventional CAPM. The present study is an attempt to detect the presence of monotonic models in Indian capital market. The study deals with the period from April 1, 2009 to March 31, 2016. The study confirms that the two-factor model with value premium as extended variable is better than the prolonged CAPM and the superiority of Fama and French three-factor model in Indian stock market. The study also confirms the wellbeing of CAPM.

Author: Raj Dhankar
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description
The arbitrage pricing theory (APT) has been proposed as an alternative to the capital asset pricing model (CAPM). This paper uses principal components analysis to estimate the factors that influence stock returns. Analysis of the Indian stock market using monthly and weekly returns for 1991-2002 shows that APT with multiple factors provides a better indication of asset risk and estimates of required rate of return than CAPM which uses beta as the single measure of risk.

Author: Shweta Bajpai
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description
Capital Asset Pricing Model (CAPM) is the fundamental model for asset pricing. In addition to the systematic risk, various factors (size effect, leverage effect, E/P ratio effect, liquidity effect, etc.) have been considered to explain asset pricing in the recent and advanced models (like Fama-French model and Carhart model). This paper provides a new factor of industry effect in addition to several other factors explained in the past. In this paper, the dummy variable regression method is used, which helps in explaining the service and non-service industry effect on asset pricing. The sample of this study contains daily return of 290 stocks of NSE CNX 500 index for 10 years. For correction of nonsynchronous trading error in the beta, the adjusted beta calculated with the help of Dimson model is used. The analysis is conducted separately for before the financial crisis and after the financial crisis. This study confirms the presence of industry effect in the return generating process of stocks in the Indian equity market. The study elaborates the interactive effect of beta and industry factor.