The paper tests if the documented size effect in the Indian stock market is an anomaly with respect to market efficiency or an artifact with respect to data or methodology employed. The study employs two related datasets (one being held constant through the study period, the other being revised...

In this paper we examine if there is any overreaction effect present in Indian Stock market. We have used monthly closing adjusted prices of 500 stocks comprising S&P CNX 500 Equity Index over the period March, 1996 to March, 2007 and methodology as proposed by De Bondt and Thaler (1985) and...

This paper is an attempt to examine the reliability and usefulness of ex ante measures of portfolio formulation by selecting securities from a well-defined sampling frame. Four indices are employed to achieve the objectives of the study, namely, Sharpe index, Treynor index, Jensen index and...

In a first of this kind, this paper examines the issue of prior return effect in Indian stock market in intra-day analysis using high frequency data. We document that in Indian stock market, security returns exhibit a reversal in their direction within few minutes of extreme price rises as well...