This paper tries to identify non-linearity in the estimation of Taylor type reaction function for Reserve Bank of India using a threshold estimation technique of Hansen (2000). For the monthly data from March 2001 to October 2009 with Repo rate as the policy rate the estimation significantly...

The paper proposes a dynamic factor model to augment the conventional three factor Fama and French – CAPM, by introducing two distinct latent variables which constitute investor behavior i.e. market sentiment and herding. Our analysis suggests that both factors significantly impact the asset...

The advantages and disadvantages of diversification and its impact on productivity or performance of a firm have been debated upon by academics and business professionals all over, although views on the topic still differ widely. While popular views are that related diversification increases...

The paper aims to study the dynamic investor behavior and how it helps explain variation in stock returns. We propose a dynamic factor model to extract distinct latent factors representing fluctuations in asset returns due to changes in fundamentals and investor behavior. We study investor...