Purpose: The purpose of this paper is to compare the performance of various multifactor asset pricing models across ten emerging and developed markets. Design/methodology/approach: The general methodology to test asset pricing models involves regressing test asset returns (left-hand side...

Purpose: The study examines the cross-sectional and asymmetric relationship of investor sentiment with the stock returns and volatility in India. Design/methodology/approach: The investor sentiment is captured using a market-based measure Market Mood Index (MMI) and a survey-based measure...

Purpose: The purpose of this paper is to explore whether stock selection strategies based on four fundamental quality indicators can generate superior returns compared to overall market. Design/methodology/approach: The sample of stocks comprises the constituents of BSE-500 index, which is a...

Purpose: In the current study, the significance of extreme positive returns has been investigated in the pricing of stocks in the Indian equity market. This study aims to understand if investors in India have a preference for lottery-like stocks. The existing literature provides support for MAX...

Purpose: The purpose of this paper is to capture the investors' mood related to the COVID-19 pandemic and analyze its impact on the stock market returns. Design/methodology/approach: To capture the investor mood related to the COVID-19 pandemic, the authors construct a unique COVID-19 fear...

Purpose: This study aims to empirically examine the relationship between corporate social responsibility disclosure (CSRD) and financial performance (FP) in Indian firms. Design/methodology/approach: Data for CSRD is collected by conducting content analysis of CSRD in annual reports of the...