This study examines the link between Shiller's Barclays Cyclically Adjusted Price-to-Earnings (CAPE) and future returns in the Indian equity market over varying time periods across several popular factor styles. The results reveal a statistically significant inverse relationship, indicating that...

We examine the performance of 36 smallcases between December 2019 and December 2022, comparing their performance against market-based and strategy indices, and four- and six-factor models. The results show evidence of targeted factor exposures for a few smallcases, but for most smallcases, the...

This paper examines the evidence of the benefits of international diversification in the Indian context. Using a time series of returns over almost three decades, we examine alternative measures of codependence for the Indian equity market and a sample of global equity markets, gold and INR-USD....

We show an inverse relationship between elevated valuations (high CAPE) and forward real-returns over 1, 3, 5, and 10 years in India, similar to other international studies. There is a reasonable probability (38%) that 1-year returns are negative when CAPE is in its highest quintile. While...