Over the past few years, the Value-at-Risk (VaR) has become a standard measure of market risk embraced by banks, trading firms, mutual funds and others, including even the non financial firms. But any risk measure is useful and reliable only insofar as it can be verified for its accuracy. This...

This paper examines the perceptions, preferences and various investment strategies in Indian stock market on the basis of a survey among 93 investment analysts, fund managers and active equity investors based at Delhi and Mumbai during May-October 2007. Survey findings reveal that investors use...

This paper examines the relationship between four company fundamental variables (viz. market capitalization, book equity to market equity ratio, price earnings ratio and debt equity ratio) and equity returns in Indian stock market using monthly price data of a sample of 455 companies forming...

Size effect has been extensively documented for most of the world capital markets including India. In this paper we examine the causes of the size effect in Indian stock market. We test whether operating, financial and liquidity characteristics substantially differentiate small firms from large...

Certain securities especially those of small firms and distress firms are generally unsuited to the investment requirements of large financial institutions and hence attract minimal investment by them. As a result these securities may offer a premium as a compensation for associated information...

Different sectors of an industrial economy tend to have peculiar features and their growth, profitability and performance vary overtime. Therefore, it can be argued that small firms concentrate in certain inherently weak, less profitable and more risky sectors of the economy as against highly...

In this study we attempt to test if there is a size effect in Indian stock market. The data comprises of 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 Fixed Assets,...

This paper examines the relationship between four company fundamental variables (viz. market capitalization, book equity to market equity ratio, price earnings ratio and debt equity ratio) and equity returns in Indian stock market using monthly price data of a sample of 455 companies forming...

This paper is amongst the first to investigate weak-form efficiency of the most developed (G-20) countries in the world. It also measures the impact of the 2007 financial crisis on the stock markets of these countries, in terms of their efficiency. Serial correlation test, ADF unit root test, Lo...

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...