This study examines the effect of options trading on the January effect in the period 1996-2009. The options market offers investors an alternative trading venue that circumvents several trading limitations in the equity market and hence enables a higher level of arbitrage activities. In a...

This study is the first to combine returns based (RBS) and characteristics based (CBS) style analysis into a single style analysis model. We address the issue of whether RBS and CBS style analysis complementary. Out of sample tests confirmed two things; membership of style groups explain a...

CAPM has come a long way, has passed the time-test, and is fast coming out as a winner despite the onslaught of both, APT and multi-factor CAPM. The bottom line is that CAPM is needed, dead or alive. If so, it does not mean that CAPM stays as, “CAPM." Downside risk in recent times has caught...

The purpose of the present study is to provide further empirical evidence of the January and size effects on stock returns. The data used in this study are monthly stock returns, shares outstanding, and prices of all the stocks listed on the NYSE, AMEX, and NASDAQ. The data of monthly stock...

The Capital Asset Pricing Model allows to price risky financial assets, in seductive simple way, but under various theoretical assumptions. Since its inception, CAPM has been questioned due to some of its unrealistic theoretical assumption or due to its empirical failures. Academicians have been...

This paper examines the inter-linkages and long run integration of Indian economy with other economies of the world (US, Europe, Other Emerging markets and World economy) using standard indices of MSCI over the period Jan 2003 to July 2012. We also investigate Indian economy's response to recent...

This paper examines the short run and long run inter linkages of the Indian stock market with those of Advanced emerging markets viz. Brazil, Hungary, Taiwan, Mexico, Poland and South Africa over the period ranging from 1 January 1992 to 31 December 2009 using Johansen co-integration test and...

Existing literature documents that cross-sectional stock returns exhibit both price momentum and earnings momentum. In this paper, we examine whether commonly used style and sector indexes also have momentum patterns. We show that style indexes exhibit strong price momentum, but little evidence...

In recent years, there has been a proliferation of alternatively weighted (“alternative beta”) indices, such as fundamentally weighted indices, equal-weighted indices and low-volatility indices. We have surveyed a broad range of alternative beta strategies that have gained significant...