Using high-frequency stock price data, we investigate the effect of various stock-specific and market-wide events on intraday volatility dynamics in the Indian market. Modeling intraday volatility dynamics using FFF regressions, we examine the effect of – cross-listing, weekends and holidays,...

We compute the Fama-French and momentum factor returns for the Indian equity market for the October 1993-December 2013 period. We differ from the previous studies on this topic in the Indian market in several significant ways. First, we cover a greater number of firms relative to the existing...

We report on nominal and inflation-adjusted returns of 5 asset classes (equities, fixed deposits, gold, currency, bonds, and housing) using a dataset of India Rupee returns curated from various sources starting from 1992. Historical average long-terms real-returns range from 1.0% pa (range: 0.6...

In India, households are increasingly investing in financial assets, making the need for long-term data sets increasingly critical. We update the 2021 work by Raju (2021) and, using data until August 2022, analyse almost three decades worth of nominal and inflation adjusted returns of equities,...

We show an inverse relationship between elevated valuations (high CAPE) and forward excess returns over 1, 3, 5, and 10 years in India, similar to other international studies. At the end of June 2022, as measured by Shiller Barclays CAPE, valuation is at the 77th percentile of its historical...

We look at the trend of alpha generation among 18 large-cap equity mutual funds in India betweenSeptember 2010 and August 2021. Between September 2013 and December 2017, these schemes, on average, outperformed a NIFTY 50 index tracker fund (average annualised 3-year alpha of 3.22%), but since...