TY - JOUR
T1 - Is the profitability of Indian stocks compensation for risks?
AU - Narayan, Paresh Kumar
AU - Phan, Dinh Hoang Bach
AU - Bannigidadmath, Deepa
N1 - Publisher Copyright:
© 2017 Elsevier B.V.
Copyright:
Copyright 2017 Elsevier B.V., All rights reserved.
PY - 2017/6
Y1 - 2017/6
N2 - 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.
AB - 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.
KW - India
KW - Macroeconomic factors
KW - Market risk
KW - Portfolios
KW - Profit
UR - http://www.scopus.com/inward/record.url?scp=85015309201&partnerID=8YFLogxK
U2 - 10.1016/j.ememar.2017.02.001
DO - 10.1016/j.ememar.2017.02.001
M3 - Article
AN - SCOPUS:85015309201
SN - 1566-0141
VL - 31
SP - 47
EP - 64
JO - Emerging Markets Review
JF - Emerging Markets Review
ER -