Purpose: The purpose of this paper is to investigate the stock market performance of companies featured in the survey “Best Companies to Work For” as a proxy for corporate culture. Design/methodology/approach: The authors employed the portfolio formation and event study methods from finance...

Purpose The purpose of this paper is to examine the role of value-at-risk (VaR) in the cross-section of stock returns in the Indian stock market during the period 1999-2014. Design/methodology/approach The paper follows the methodology of Bali and Cakici (2004) to investigate the relationship...

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...

The purpose of this study is to examine the influence of four dimensions of corporate culture on employees’ organizational commitment in the banking sector of Pakistan. Correlation and Regression analysis are employed to test the research hypothesis. The results revealed that all of the four...

The relation between idiosyncratic risk and stock returns is currently a topic of debate in the academic literature. So far the evidence regarding the relation is mixed. This study aims to investigate the cross-sectional relation between idiosyncratic risk and stock returns in the Indian stock...

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...

This study links the role of momentum and illiquidity (as proxied by Amihud's Illiq) in the cross section of stock returns in India for the period 2000-2012. Illiquidity premium is more pronounced among winners. Illiquid winners outperform liquid winners by an average 2.7% per month. We report...

This paper examines the idiosyncratic volatility (IV) puzzle in the Indian stock market for the period 1999–2014. Univariate and bivariate sorting, as well as cross-section regressions, suggest a positive relation between idiosyncratic volatility and future stock returns. However, this...