Is the profitability of Indian stocks compensation for risks?

Narayan, Paresh Kumar, Phan, Dinh Hoang Bach and Bannigidadmath, Deepa 2017, Is the profitability of Indian stocks compensation for risks?, Emerging markets review, vol. 31, pp. 47-64, doi: 10.1016/j.ememar.2017.02.001.

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Title Is the profitability of Indian stocks compensation for risks?
Author(s) Narayan, Paresh KumarORCID iD for Narayan, Paresh Kumar
Phan, Dinh Hoang Bach
Bannigidadmath, Deepa
Journal name Emerging markets review
Volume number 31
Start page 47
End page 64
Total pages 18
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2017-06
ISSN 1566-0141
Keyword(s) India
Market risk
Macroeconomic factors
Summary This paper examines the profitability of the Indian stock market using an extensive new data set that includes 1,515 stocks and covers a time-period spanning 1992 to 2014. Using both the popular Jegadeesh-Titman and the 52-week momentum trading strategies, we discover that portfolios of all stocks and various portfolios of industry stocks are profitable. These profits, we find, disappear once we account for a range of market and macroeconomic factors, suggesting that market and industry profits are compensation for risks. Our results survive a battery of robustness tests.
Language eng
DOI 10.1016/j.ememar.2017.02.001
Field of Research 1402 Applied Economics
Socio Economic Objective 0 Not Applicable
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2017, Elsevier B.V.
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Document type: Journal Article
Collections: Faculty of Business and Law
Department of Finance
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