We compute the Fama-French and momentum factor returns for the Indian equity market for the October 1993-December 2013 period. We differ from the previous studies on this topic in the Indian market in several significant ways. First, we cover a greater number of firms relative to the existing...

We use the Indian stock options market to study the evolution of uncertainty and asymmetric uncertainty around earnings announcements (EAs). We find that uncertainty (implied volatility) and asymmetric uncertainty (options skew) increase monotonically before the EA day and decrease after EA....

We study the characteristics of Quality factor (QMJ) in India, which is the second largest emerging market. Dimensions of quality factor are impacted by the weaker enforcement of corporate governance norms in emerging markets. Diversion of revenues by promoters would result in poor...

Call markets are claimed to aggregate information and facilitate price discovery where continuous markets may fail. Its advantage, however, comes at the cost of immediacy. The impact of the introduction of call auction has not been found uniformly beneficial, possibly due to poor design or due...

We analyze the permanent (information effect) and temporary (liquidity effect) impact of block trades transacted in the National Stock Exchange of India. Block trades are identified using multiple criteria based on trade value and trade volume. Overall, the permanent price impact is more for...