The present study examines the cross-sectional pricing ability of idiosyncratic volatility (IV) in Indian stock market and investigates the relationship amongst expected idiosyncratic volatility (EI), unexpected idiosyncratic volatility (UI), and cross-section of stocks returns. The study uses...

The poor empirical record of the CAPM paved the way towards the development of multi-factor asset pricing models. The three-factor model of Fama and French (1993) is regarded as a ground-breaking multi-factor asset pricing model. This paper examines the performance of the three-factor model of...

Investor behaviour has for long been a topic of interest for economists, portfolio managers and several other market participants who are keen to ascertain the role of investor psychology in market microstructure and price discovery process. Literature on financial economics suggests that market...

Despite more than a decade of reforms, Indian stock markets have not been able to mobilize and allocate capital effectively. While Indian corporate sector depends predominantly on debt to raise finance, the Indian household depends primarily on banks to invest its savings. A possible explanation...

The Fama and French (2015) five-factor model that captures the size, value, profitability, and investment patterns in average stock returns performs better than the three-factor model that only targets size and value. Our sample shows a negative value effect. As a result, the five-factor...

This paper applies the multi-scale beta estimation approach based on wavelet analysis to all stocks comprising BSE-Sensex. Betas are calculated based on the wavelet decomposition from the Maximal overlap discrete wavelet transform (DWT). It is shown that the multi-scale beta estimation approach...

This paper applies the multi-scale beta estimation approach based on wavelet analysis to all stocks comprising BSE-Sensex. Betas are calculated based on the wavelet decomposition from the Maximal overlap discrete wavelet transform (DWT). It is shown that the multi-scale beta estimation approach...