Purpose
In the current study, the significance of extreme positive returns has been investigated in the pricing of stocks in the Indian equity market. This study aims to understand if investors in India have a preference for lottery-like stocks. The existing literature provides support for MAX effect in several countries, where risk seeking in the form of gambling is an acceptable form of social behavior, suggesting a preference for lottery-like stocks. This motivates the authors to investigate whether such preference for lottery-like stocks is prevalent in a country such as India with a different cultural setting, where gambling is not socially and legally encouraged.
Design/methodology/approach
The MAX effect is tested in the Indian market for the period from January 2003 to March 2017. The average number of firms per month in this study is 2,949. Univariate and bivariate portfolio-level analyses, as well as Fama MacBeth regressions, are conducted to observe the difference between average raw and risk-adjusted returns between the stocks lying in the highest and lowest MAX deciles. Several tests have been performed for checking the robustness of the findings.
Findings
Unlike the extant literature, the authors have not found any evidence of a negative relationship between extreme positive returns and expected returns. The univariate and bivariate analyses suggest that high MAX deciles over-perform low MAX deciles. Fama Macbeth regressions also do not support the negative relationship documented for other markets. This suggests that investors are not euphoric about lottery-like stocks in India. One may devise profitable trading strategies by going long on high MAX deciles and short on low MAX deciles.
Originality/value
This study finds a behavioral aspect of Indian investors, which seems to be in contrast to that of other countries. While there is a strong preference for lottery-like stocks in other markets, investors in India do not end up overpaying for such stocks in the market. This tendency might be an outcome of a different social and regulatory setting in India. In view of the fact that India is increasingly becoming an important investment destination, it becomes important to devise investment strategies based on the peculiarities of this market rather than simply extrapolating the findings of other markets.
This study investigates whether gold, USD, and Bitcoin are hedge and safe haven assets against stock and if they are useful in diversifying downside risk for international stock markets. We propose a combined GO‐GARCH‐EVT‐copula approach to examine the hedge and safe haven properties of gold, USD, and Bitcoin. We then examine the attractiveness of these assets in reducing stock portfolio risk by using downside risk measures estimated by the proposed approach and other competing models. We also evaluate the relative performance of the proposed model in reducing downside risk with the competing models. The findings of the study indicate that the USD is the most valuable hedge and safe haven asset closely followed by gold, while Bitcoin is the least valuable. It is also observed that the proposed combined approach performs best in reducing the portfolio downside risk. The findings of this study are of significance for portfolio managers and individual investors who wish to protect the portfolio value during market turmoil.
The major concerns of using Jojoba oil in CI engines is its high viscosity, low volatility, and high NOx formation. In this work, an analysis of the emission parameters and efficiency of a jojoba biodiesel-fuelled engine is carried out. This research study investigates the impacts of the addition of higher order alcohols with diesel fuel on the performance and emission parameters of CI engine working with diesel-jojoba oil methyl ester blend. 5% and 10% by volume of n-butanol is combined with B20 blend of jojoba oil methyl ester. The experiment is divided in two steps, firstly, the optimum combination of alcohol with biodiesel is evaluated based on the BTE and emission parameters. Secondly, the effect of varying the injection timing from 21°, 23° and 25° BTDC for the alcohol blends of diesel-biodiesel blends are studied. BTE increases by 4.5% for B20+10% butanol and NO emission decreases by 23%. Other emissions are facing a significant drop except HC emissions. Delayed injection timing of 21° BTDC reduces NO emission further by 18.4%. The findings prove that adding n-butanol, oxygenated fuel could enhance the viscosity issue of jojoba oil methyl ester and the mixtures as well resulting in an enhancement in their performance parameters.
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