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Indian Equity Markets : Measures of Fundamental Value

Mehra, Rajnish - 2010

In this paper, we take a critical look at the relationship between the value of capital stock in the Indian corporate sector and the valuation of claims to this capital stock in capital markets. We address the question of whether Indian equity valuations over the period 1991- 2008 are consistent...

Persistent link: https://www.econbiz.de/10012462594

Do the Rich Get Richer in the Stock Market? Evidence from India

Campbell, John Y. - 2018

We use data on Indian stock portfolios to show that return heterogeneity is the primary contributor to increasing inequality of wealth held in risky assets by Indian individual investors. Return heterogeneity increases equity wealth inequality through two main channels, both of which are related...

Persistent link: https://www.econbiz.de/10012480553

Who Owns What? A Factor Model for Direct Stock Holding

Balasubramaniam, Vimal; Campbell, John Y.; Ramadorai, Tarun - National Bureau of Economic Research - 2021

We build a cross-sectional factor model for investors' direct stock holdings, by analogy with standard time-series factor models for stock returns. We estimate the model using data from almost 10 million retail accounts in the Indian stock market. We find that stock characteristics such as firm...

Persistent link: https://www.econbiz.de/10012599355

Daily Momentum and New Investors in an Emerging Stock Market

Gao, Zhenyu; Jiang, Wenxi; Xiong, Wei A.; Xiong, Wei - National Bureau of Economic Research - 2023

Despite the dominance of retail investors in the Chinese stock market, there's a conspicuous absence of price momentum … in weekly and monthly returns. This study uncovers the presence of price momentum in daily returns and, through a … systematic analysis of trading heterogeneity among investors, links daily momentum to the attention and trading activities of new …

Persistent link: https://www.econbiz.de/10014436970

Capitalizing China

Fan, Joseph P. H. (contributor); Morck, Randall (contributor) - 2013

Persistent link: https://www.econbiz.de/10009689290

Mandated Disclosure, Stock Returns, and the 1964 Securities Acts Amendments

Greenstone, Michael - 2005

The 1964 Securities Acts Amendments extended the mandatory disclosure requirements that had applied to listed firms since 1934 to large firms traded Over-the-Counter (OTC). We find several pieces of evidence indicating that investors valued these disclosure requirements, two of which are...

Persistent link: https://www.econbiz.de/10012467201

The Empirical Risk-Return Relation : A Factor Analysis Approach

Ludvigson, Sydney C. - 2005

A key criticism of the existing empirical literature on the risk-return relation relates to the relatively small amount of conditioning information used to model the conditional mean and conditional volatility of excess stock market returns. To the extent that financial market participants have...

Persistent link: https://www.econbiz.de/10012467202

Predicting the Equity Premium Out of Sample : Can Anything Beat the Historical Average?

Campbell, John Y. - 2005

A number of variables are correlated with subsequent returns on the aggregate US stock market in the 20th Century. Some of these variables are stock market valuation ratios, others reflect patterns in corporate finance or the levels of short- and long-term interest rates. Amit Goyal and Ivo...

Persistent link: https://www.econbiz.de/10012467212

Investment-Based Underperformance Following Seasoned Equity Offerings

Lyandres, Evgeny - 2005

Adding a return factor based on capital investment into standard, calendar-time factor regressions makes underperformance following seasoned equity offerings largely insignificant and reduces its magnitude by 37-46%. The reason is that issuers invest more than nonissuers matched on size and...

Persistent link: https://www.econbiz.de/10012467221

Caught On Tape : Institutional Order Flow and Stock Returns

Campbell, John Y. - 2005

Many questions about institutional trading can only be answered if one can track high-frequency changes in institutional ownership. In the US, however, institutions are only required to report their ownership quarterly in 13-F filings. We infer daily institutional trading behavior from the...

Persistent link: https://www.econbiz.de/10012467240