Company Attributes and Cross Section of Stock Returns in India

Singh, Rohini

doi:10.1177/097324700800400210

Cited by 3 publications

(1 citation statement)

References 39 publications

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“…In the literature, both positive and negative relationships between the assets' returns and their sizes, price earnings and dividend yields can be found. In particular, Claessens et al (1995) and Singh (2008) find that the signs of size and dividend yield effects on stocks returns are opposite in emerging markets to those of developed markets. The reasons for these opposite relationships remains unclear.…”

Section: Applications To the Study Of Cross-sectional Effectsmentioning

confidence: 99%

Cross-Sectional Analysis Through Rank-Based Dynamic Portfolios

2012

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The aim of this paper is to study the cross-sectional effects present in the market using a new framework based on graph theory. Within this framework, we represent the evolution of a dynamic portfolio, i.e. a portfolio whose weights vary over time, as a rank-based factorial model where the predictive ability of each cross-sectional factor is described by a variable. Practically, this modeling permits us to measure the marginal and joint effects of different cross-section factors on a given dynamic portfolio. Associated to a regime switching model, we are able to identify phases during which the cross-sectional effects are present in the market.

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Section: Applications To the Study Of Cross-sectional Effectsmentioning

confidence: 99%

Cross-Sectional Analysis Through Rank-Based Dynamic Portfolios

2012

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Conditional multifactor asset pricing model and market anomalies

Dash

Mahakud

2013

Journal of Indian Business Research

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Purpose – The purpose of this paper is to investigate the firm-specific anomaly effect and to identify market anomalies that account for the cross-sectional regularity in the Indian stock market. The paper also examines the cross-sectional return predictability of market anomalies after making the firm-specific raw return risk adjusted with respect to the systematic risk factors in the unconditional and conditional multifactor specifications. Design/methodology/approach – The paper employs first step time series regression approach to drive the risk-adjusted return of individual firms. For examining the predictability of firm characteristics on the risk-adjusted return, the panel data estimation technique has been used. Findings – There is a weak anomaly effect in the Indian stock market. The choice of a five-factor model (FFM) in its unconditional and conditional specifications is able to capture the book-to-market equity, liquidity and medium-term momentum effect. The size, market leverage and short-run momentum effect are found to be persistent in the Indian stock market even with the alternative conditional specifications of the FFM. The results also suggest that it is naï argue for disappearing size effect in the cross-sectional regularity. Research limitations/implications – Constrained upon the data availability, certain market anomalies and conditioning variables cannot be included in the analysis. Practical implications – Considering the practitioners' prospective, the results indicate that the profitable investment strategy with respect to the small size effect is still persistent and warrants close-ended mutual fund investment portfolio strategy for enhancing the long-term profitability. The short-run momentum effect can generate potential profits given a short-term investment horizon. Originality/value – This paper provides the first-ever empirical evidence from an emerging stock market towards the use of alternative conditional multifactor models for the complete explanation of market anomalies. In an attempt to analyze the anomaly effect in the Indian stock market, this paper provides further evidence towards the long-short hedge portfolio return variations in terms of a wide set of market anomalies that have been documented in prior literature.

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Assecs the Eﬃciency of Operational Risk Management in Russian Banks

Abu-Alrop

2020

Problemy analiza riska

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This study examines the efficiency of operational risk management of 85 Russian commercial banks during the period 2008—2017. This study uses data envelopment analysis (DEA) with financial ratios to assess the efficiency of operational risk management. The study adopts the basic indicator approach (BIA) to measuring operational risk. Also, the study adopts net interest margin (NIM), return on assets (ROA), and return on equity (ROE) for measuring banks performance. The study found that the small banks were the most effective in managing operational risk, while large banks were more efficient than medium banks.

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Company Attributes and Cross Section of Stock Returns in India

Cited by 3 publications

References 39 publications

Cross-Sectional Analysis Through Rank-Based Dynamic Portfolios

Cross-Sectional Analysis Through Rank-Based Dynamic Portfolios

Conditional multifactor asset pricing model and market anomalies

Assecs the Eﬃciency of Operational Risk Management in Russian Banks

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