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 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...

This paper studies an episode of dissemination of wrong stock index values in real time due to a software bug in the Indian Nifty index futures market on the morning of January 18, 2006. The episode provides an opportunity to test various models of cognitive biases and bounded rationality...

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....

This paper studies an episode of dissemination of wrong stock index values in real time due to a software bug in the Indian Nifty index futures market on the morning of January 18, 2006. The episode provides an opportunity to test various models of cognitive biases and bounded rationality...