stock returns using data from two prominent national stock exchanges of India. We find that when the tax on equity …. Since the volatility of returns on stocks is not constant through time, conditional heteroscedasticity models are used to … estimate the volatility of stock returns. The impact of tax on volatility of return on indices is insignificant. …

This paper examines the applicability of CAPM in explaining the risk-return relation in the Malaysian stock market for … standard CAPM model with constant beta (Model I), the standard CAPM model with time-varying beta (Model II), the CAPM model … conditional on segregating positive and negative market risk premiums with constant beta (Model III), as well as the CAPM model …

Russia, China, South Africa, Argentina and Brazil. …

strongly related to required returns. This indicates that an important part of the information risk premium is related to the …

investment and rebalancing dates result in significant risk-adjusted returns. I also investigate the sources of abnormal returns … results in insignificant abnormal hedge returns. In contrast, investing based on the inflation effect on companies …’ nonmonetary holdings consistently yields economically and statistically significant abnormal hedge returns. These findings …

This paper studies the effect of Securities Transaction Tax (STT) on the behavior of the returns on the Indian stock … doesn’t have a major impact on the returns of the stocks listed on the National Stock Exchange in India whereas it …