Download or read book Risk Anomaly Empirical Evidence from Indian Stock Market written by Nehal Joshipura and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance theory suggests that higher return comes with higher risk. However, several studies have reported the evidences of low-risk anomaly in the US and other global markets, where portfolio of low volatility stocks delivers superior risk-adjusted returns as compared to market index and high volatility stocks' portfolio. The present study aims to investigate the presence of low-risk anomaly in Indian stock market by using all constituent stocks of S&P CNX 200 index of NSE for the period from January 2004 to August 2013. The CNX 200 index represents about 88.75% of the free-float market capitalization of the stocks listed on NSE as on June 28, 2013. The study is based on construction of low and high volatility portfolios using volatility of historical monthly returns of stocks and holding portfolios for the next period on iterative basis.
Download or read book The Handbook of Equity Market Anomalies written by Leonard Zacks and published by John Wiley & Sons. This book was released on 2011-08-24 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Stock Market Anomalies written by Elroy Dimson and published by CUP Archive. This book was released on 1988-03-17 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book China s Rise And Internationalization Regional And Global Challenges And Impacts written by Filip Abraham and published by World Scientific. This book was released on 2020-04-15 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: 2018 marks the 40th anniversary of the start of China's reform and opening up policy, which created China's growth miracle with an annual average growth rate of around 9.5 percent. China's rapid rise and internationalization has also generated profound impacts both regionally and globally. This edited book aims to bring together academics and researchers at policy institutions to discuss ongoing research on a wide range of theoretical and empirical issues related to China's rapid rise and internationalization from both regional and global perspectives.
Download or read book Indian Stock Market written by Gourishankar S. Hiremath and published by Springer Science & Business Media. This book was released on 2013-10-28 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt: India is one of the major emerging economies of the world and has witnessed tremendous economic growth over the last decades. The reforms in the financial sector were introduced to infuse energy and vibrancy into the process of economic growth. The Indian stock market now has the largest number of listed companies in the world. The phenomenal growth of the Indian equity market and its growing importance in the economy is indicated by the extent of market capitalization and the increasing integration of the Indian economy with the global economy. Various schools of thought explain the behaviour of stock returns. The Efficient Market Theory is the most important theory of the School of Neoclassical Finance based on rational expectation and no-trade argument. The book investigates the growth and efficiency of the Indian stock market in the theoretical framework of the Efficiency Market Hypothesis (EMH). The main objective of the present study is to examine the returns behaviour in the Indian equity market in the changed market environment. A detailed and rigorous analysis, made with the help of the sophisticated time series econometric models, is one of the key elements of this volume. The analysis empirically tests the random walk hypothesis and focuses on issues like nonlinear dynamics, structural breaks and long memory. It uses new and disaggregated data on recent reforms and changes in the market microstructure. The data on various indices including sectoral indices help in measuring the relative efficiency of the market and understanding how liquidity and market capitalization affect the efficiency of the market.
Download or read book Three Factor Model of Asset Pricing written by Mobin Anwar and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book An Empirical Study on Value Investing in Indian Stock Market written by Aggarwal Priti and published by Independent Author. This book was released on 2022-12-13 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock market anomalies have always been a hot topic of debate between scholars and investment practitioners. And the fascination is not new. It all started with the Great Depression of the 1930s when the stock markets crashed steeply. Since then, the academician of the world has gotten into a rat race of developing theories to determine the true value of common stocks. These pricing theories became the cheese slice for investors who wanted to chase abnormal returns by utilizing the knowledge of stock mispricing.
Download or read book An Empirical Analysis of Calendar Anomalies in Stock Returns Evidence from India written by Dr. Sitaram Pandey and published by Book Rivers. This book was released on 2022-03-09 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Download or read book Low Risk Anomaly written by Rohan Rambhia and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance theory suggests that higher return comes with higher risk. This paper examines low risk anomaly in Indian stock markets by using the constituent stocks of S&P CNX 500 index of NSE for a 11-year period starting from 2001 to 2011. Monthly rolling iterations are used to form low and high volatility portfolios. The findings of the study endorse the presence of low risk anomaly in Indian stock markets as low volatility portfolio outperforms market portfolio as well as its high volatility counterpart on risk-adjusted basis. The results are consistent with those of Clarke et al. (2006a and 2006b) and others for developed markets.
Download or read book An Empirical Analysis of January Anomaly in the Indian Stock Market written by Dr. P. Nageswari Sathish and published by . This book was released on 2020 with total page 1 pages. Available in PDF, EPUB and Kindle. Book excerpt: Any anomaly, including January Anomaly, would enable the investors and speculators to gain abnormal returns. The presence of January Anomaly defeats the basic premises of the efficient market hypothesis. Besides, it has greater implications for the design of investment strategy in the long run. This paper seeks to find out whether the 'January Anomaly', found in many countries, is also found in the fast developing Indian Markets. The study used the logarithmic data for S&P CNX Nifty and S&P CNX 500 sample indices and applied the Dummy Variable Regression Model from 1st April 2002 to 31st March 2011. It is found that the highest mean return was earned in December and the lowest/ negative mean return earned in January Month for S&P CNX Nifty index. The S&P CNX 500 Index recorded the Highest Mean Return in the Month of March and the Highest Negative Mean Returns in the Month of January. It is found that there was significant difference in the mean returns among the different months of the year. The analytical results of seasonality indicate the absence of January Anomaly during the study period.
Download or read book Market Anomalies in the BRIC Countries Stock Market Evidence for Size and Price to Book Effects written by Julian Anschütz and published by GRIN Verlag. This book was released on 2016-10-28 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2016 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, RWTH Aachen University (Faculty of Business and Economics), course: Corporate Finance, language: English, abstract: In order to fill a gap in the research on developing equity markets, especially emerging markets, this study deals with market anomalies in the BRIC countries, specifically focusing on identifying the anomalies size and price-to-book effect. However, the reason for an analysis regarding stock market anomalies in the BRIC countries is not exclusively limited to the lack of contemporary studies on this topic. The emerging markets in general, and, specifically, the BRIC stock markets are very interesting and valuable objects for respective examinations, since they still provide an enormous growth potential. The markets naturally show a high volatility. This study’s approach is to explain the established market anomalies and point at factors, which may enforce size and price-to-book effects in each BRIC country. Therefore, after presenting the BRIC concept in chapter 2, the standard method to estimate the stock return, the Capital Asset Pricing Model (CAPM), is introduced in chapter 3 in order to identify possible weaknesses and certain anomalies, which have been identified in the research. The most common anomalies will be introduced in chapter 4. Subsequently, an alternative method to explain the stock return, the Fama / French three-factor model is discussed as a possibility to identify further risk factors, which can invalidate anomalies with respect to the CAPM, in chapter 5. Furthermore, a brief overview on previous studies, which include valuation anomalies in the respective countries, is given in chapter 6. In the empirical part of chapter 7, each country is analyzed individually with respect to size and price-to-book effects. However, the study applies the same empirical analysis for each stock market in order to obtain comparable results, choosing a timespan, which covers the maximum period for which sufficient data is available in all stock markets. Two approaches are used per country. The first, to identify the mentioned stock market anomalies, the second to explain the cross-section of stock returns by means of three proxies for risk, namely systematic risk in form of CAPM-beta, size and book-to-market equity ratio. The empirical part of this examination investigates the time frame from January 1996 until June 2015 and uses a total sample of 6,054 stocks throughout the four stock markets. In the conclusion, the study’s results are summarized and findings presented.
Download or read book Indian Stock Market and Investors Strategy vol 1 written by Dr.Priya Rawal and published by Dr.Priya Rawal. This book was released on 2015-10-06 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock Market is the mitigation of risk through the spreading of investments across multiple entities, which is achieved by the pooling of a number of small investments into a large bucket. Stock Market is the most suitable investment for the common man as it offers an opportunity to invest in a diversified, professionally managed portfolio at a relatively low cost.
Download or read book The Lottery Mindset Investors Gambling and the Stock Market written by W. Fong and published by Springer. This book was released on 2014-12-07 with total page 287 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial markets are growing in complexity, and there is an increased risk that investors are led to investment products and strategies they do not fully understand. The crisis-ridden decade of the 2000s is a stark reminder of how poorly managed finances can wreak havoc on household finances. Traditional finance assumes that all investors are risk-averse and require a risk premium from investing in risky assets such as stocks. However, recent developments in behavioural finance show that many individual investors often adopt strategies that lead to serious investment missteps, including over-investing in lottery-type stocks and securities. Lottery-type securities in fact attract investors who may be risk-seeking or are strongly influenced by cognitive biases ranging from overconfidence to being over-optimistic about future investment returns, especially during periods of high sentiment. Drawing on existing and new research, The Lottery Mindset summarizes the behavioural motivations and detrimental impact of investment strategies which are popular with individual investors. Wai-Mun Fong provides insight and guidance on behavioural biases, and successful investment. By both reviewing and contributing to exiting literature on this topic, this book will be of use to academics and general readers alike.
Download or read book The Volatility Effect written by Mayank Joshipura and published by . This book was released on 2020 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: We offer empirical evidence that stocks with low volatility earn higher risk-adjusted returns compared to high volatility stocks in the Indian stock market. The annualised excess returns for the low and high volatility decile portfolios amount to 11.40% and 1.30%, respectively, over the period January 2001 to June 2015. The difference of returns is statistically and economically significant for both low and high-risk stocks. Using risk measures of standard deviation and beta, the volatility effect remains after controlling for size, value and momentum. We uncover that the volatility effect is not statistically significant after controlling for beta effect. Our evidence for volatility effect is not dominated by small and illiquid stocks. Our results show that the low volatility portfolio outperforms benchmark portfolio not only in down market but also in up market conditions.
Download or read book Prior Return Effect in Indian Stock Market written by Vanita Tripathi and published by . This book was released on 2015 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: Prior return effect - momentum and contrarian, is a well documented phenomenon in developed stock markets. This paper examines if there is any prior return effect in Indian stock market, an advanced emerging market in the world. We use daily price data available for stocks forming part of S&P CNX 500 equity index over a total period of five years beginning from July, 2006 to June, 2011.We find that in Indian stock market, security returns do exhibit predictable patterns following extreme daily price shocks. They exhibit a reversal in their direction during few days subsequent to an event of extreme rise insecurity's daily closing prices. Conversely, after experiencing an extreme decline in their daily closing prices, they continue to follow the downward journey recording lower prices on few days subsequent to the day of extreme price decline. Evidence from non-overlapping test period days also indicates overreaction for the winner portfolio and under reaction for the loser portfolio. These findings indicate that investors in the Indian Stock Market are overoptimistic. When re-pricing stocks in response to new information, their immediate reaction causes the stock prices to be above their adjusted expected values.
Download or read book Price Based Investment Strategies written by Adam Zaremba and published by Springer. This book was released on 2018-07-25 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.
