We empirically examine whether investors demand a systemic component of Volatility Risk (VRP-beta) using the stock options traded on National Stock Exchange, India. We document robust evidence on the presence of VRP-beta, which survives even after accounting for the traditional Fama-French...

Extant empirical evidence on volatility risk premium in emerging markets is limited to the market level index options. This study extends of understanding of volatility risk premium in single stock options in the Indian market. The study finds that volatility risk is priced systematically among...

We empirically examine on-exchange hidden liquidity in the context of informed trading, pricing efficiency, and trading costs. Using a number of proxies for informativeness and a number of different specifications, we find that when an on-exchange option to hide orders exists, traders prefer to...

This paper re-examines how three theory-suggested factors affect equity returns - specified as risk-premiums - and how the results differ between developed and emerging markets. Traditional time series or cross-sectional regression procedures have yielded inconclusive evidence on maintained...

In this paper, we investigate whether Public Private Partnerships (PPPs), with readily pledgable Government assets, reduce the underinvestment problems faced by private sector firms in emerging markets. We analyse investment-cash flow sensitivity and its determinants for the partnering private...

In this paper, we investigate whether Public Private Partnerships (PPPs), with readily pledgable Government assets, reduce the underinvestment problems faced by private sector firms in emerging markets. We analyse investment-cash flow sensitivity and its determinants for the partnering private...

In this paper, we investigate whether, Public Private Partnerships (PPPs), with readily pleadgable Government assets, reduce the capital constrains faced by private sector firms in emerging markets. We use PPP announcement data, the World Bank's Private Participation in Infrastructure database...

It is hard to explain dramatic increase in executive compensation using existing theories based on power or position (Frydman and Jenter (2010)). We attempt to address this issue by using CEO promotion, as chairman of the board, as our identi cation strategy. CEO promotion is expected to have...