Purpose – The purpose of this paper is to evaluate the pricing implication of aggregate market wide investor sentiment risk for cross sectional return variation in the presence of other market wide risk factors. Design/methodology/approach – The paper employs the Fama and French time series...

Purpose – The purpose of this paper is to investigate the firm-specific anomaly effect and to identify market anomalies that account for the cross-sectional regularity in the Indian stock market. The paper also examines the cross-sectional return predictability of market anomalies after making...

The basic objective of this article is to evaluate the pricing implications of market-wide investor sentiment risk for cross-sectional return variations of Indian listed companies across industry groups. A multivariate time-series regression approach has been used to examine the impact of...

This article examines whether the alternative asset pricing models and more specifically the liquidity-augmented multifactor models can explain the effect of size, value, momentum and liquidity on cross section of stock returns in India during September 1995 to March 2011. We employ time series...

Purpose – This paper aims to investigate whether the use of conditional and unconditional Fama and French (1993) three-factor and Carhart (1997) four-factor asset pricing models (APMs) captures the role of asset pricing anomalies in the context of emerging stock market like India....