In this study we examine the stock price reaction around earnings announcement for India. The data are used for 469 companies and the study period spans from December 2002 to December 2011 covering 37 quarterly periods. Significant pre-event abnormal returns are observed for 32 out of 37...

In this paper, we empirically evaluate if Foreign Institutional Investors (FIIs) adopt positive feedback and herding strategies in the Indian environment. We find that FIIs exhibit return chasing behaviour when we use monthly data. However, they do not seem to be working on the positive feedback...

In this article we employ data for 12 commodities, four commodity indices and one stock market proxy from July 2006 to February 2011 for India. We find that commodities that provide higher average returns also exhibit higher price volatility. The return distributions for commodities as well as...

In this paper we examine definitional aspect of Investor Sentiment, the key economic, market and regulatory factors that influence investor sentiment and the relationship between investor sentiment and market performance. There seems to be no clear consensus on the concept of investor sentiment...

In this article, we re-examine the efficacy of one factor capital asset pricing model (CAPM) and Fama-French three factor asset pricing model (FF model) in explaining the returns on various portfolios constructed based upon company characteristics such as size and value. Data is employed from...

In this article, we examine the relationship between oil price shocks and stock market behaviour using market index data for 15 sample countries. The sample countries are classified into four categories, based on their economic strength and oil exporting/importing status, to verify if the...

In this study we attempt to test if there is a size effect in Indian stock market. The data relates to the top 482 Indian companies for the period 1990–2003. We find a strong size premium using six alternative measures of company size, viz., Market Capitalization, Enterprise Value, Net...

The study evaluates the economic feasibility of technical analysis in the Indian stock market. It discusses that technical indicators do not outperform Simple Buy and Hold strategy on net return basis for individual stocks. Technical indicators seem to do better during market upturns compared to...