An Empirical Analysis Of Calendar Anomalies In Stock Returns Evidence From India
DOWNLOAD
Download An Empirical Analysis Of Calendar Anomalies In Stock Returns Evidence From India PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get An Empirical Analysis Of Calendar Anomalies In Stock Returns Evidence From India book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
An Empirical Analysis Of Calendar Anomalies In Stock Returns Evidence From India
DOWNLOAD
Author : Dr. Sitaram Pandey
language : en
Publisher: Book Rivers
Release Date : 2022-03-09
An Empirical Analysis Of Calendar Anomalies In Stock Returns Evidence From India written by Dr. Sitaram Pandey and has been published by Book Rivers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-03-09 with Antiques & Collectibles categories.
Efficient Market Hypothesis And Calendar Effects
DOWNLOAD
Author : Harish Kumar
language : en
Publisher:
Release Date : 2017
Efficient Market Hypothesis And Calendar Effects written by Harish Kumar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
The Efficient Market hypothesis is a cornerstone of modern investment theory that essentially advocates the futility of information in generation of abnormal returns in capital markets over a period of time. However, the existence of anomalies challenge the notion of efficiency in stock markets. Calendar effects, in particular, violate the weak form of efficiency, highlighting the role of past patterns and seasonality in estimating future prices. The present research aims to study the efficiency in Indian stock markets. Using daily and monthly returns of NIFTY 50 data from its inception in January 1995 to December 2015, we employ dummy variable multiple linear regression technique to assess the existence of calendar effects in India stock markets. To correct for volatility clustering and ARCH effect present in the daily returns, the results are modeled using the EGARCH estimation methodology. The study reveals the existence of calendar effects in India in form of a significant Wednesday Effect as well as a significant 'December effect', thereby suggesting that the Indian stock markets do not show informational efficiency even in the weak form, a trait observable in emerging markets.
A Monthly Effect In Stock Returns
DOWNLOAD
Author : Robert A. Ariel
language : en
Publisher: Palala Press
Release Date : 2018-03-03
A Monthly Effect In Stock Returns written by Robert A. Ariel and has been published by Palala Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-03-03 with History categories.
This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
The Handbook Of Equity Market Anomalies
DOWNLOAD
Author : Leonard Zacks
language : en
Publisher: John Wiley & Sons
Release Date : 2011-08-24
The Handbook Of Equity Market Anomalies written by Leonard Zacks and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-24 with Business & Economics categories.
Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
Equity Markets In India
DOWNLOAD
Author : Shveta Singh
language : en
Publisher: Springer
Release Date : 2016-05-06
Equity Markets In India written by Shveta Singh and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-05-06 with Business & Economics categories.
The book presents a comprehensive view of the Indian equity markets over the past two decades (1994-2014). Equity markets constitute the most important segment of stock exchanges; in fact, the status of equity returns is, by and large, considered as a barometer of the state of a country’s economy. Returns earned by the equity investors on their funds invested in equity markets have become a decisive factor in the growth of such markets. In this context, the book discusses all the major aspects of equity returns and also conducts a dis-aggregative analysis based on underlying factors like age, size, ownership structure, industry affiliation/sector, among others, to explain the factors affecting returns and risk. While on the one hand the study ascertains the market rates of return (earned) on equities from the investors’ perspective (by including both the capital gains and the dividend income), it also shows how to compute the rates of returns on equities from the corporate perspective (that is, rate of return earned on equity funds). It further assesses the required/expected rate of return and examines the volatility in stock returns, with a focus on its behaviour during the period of the study. It deepens investors’ understanding of equity investment, helping them to make more-informed investments. While of interest to the investor community, this book also contributes significantly to the existing literature on market returns and is a valuable reference resource for academics, researchers and market participants, financial institutions and other intermediaries, regulators and policy makers.
An Empirical Analysis Of January Anomaly In The Indian Stock Market
DOWNLOAD
Author : Dr. P. Nageswari Sathish
language : en
Publisher:
Release Date : 2020
An Empirical Analysis Of January Anomaly In The Indian Stock Market written by Dr. P. Nageswari Sathish and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
Any anomaly, including January Anomaly, would enable the investors and speculators to gain abnormal returns. The presence of January Anomaly defeats the basic premises of the efficient market hypothesis. Besides, it has greater implications for the design of investment strategy in the long run. This paper seeks to find out whether the 'January Anomaly', found in many countries, is also found in the fast developing Indian Markets. The study used the logarithmic data for S&P CNX Nifty and S&P CNX 500 sample indices and applied the Dummy Variable Regression Model from 1st April 2002 to 31st March 2011. It is found that the highest mean return was earned in December and the lowest/ negative mean return earned in January Month for S&P CNX Nifty index. The S&P CNX 500 Index recorded the Highest Mean Return in the Month of March and the Highest Negative Mean Returns in the Month of January. It is found that there was significant difference in the mean returns among the different months of the year. The analytical results of seasonality indicate the absence of January Anomaly during the study period.
Efficiency And Anomalies In Stock Markets
DOWNLOAD
Author : Wing-Keung Wong
language : en
Publisher: Mdpi AG
Release Date : 2022-02-17
Efficiency And Anomalies In Stock Markets written by Wing-Keung Wong and has been published by Mdpi AG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-02-17 with Business & Economics categories.
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
The Stock Market
DOWNLOAD
Author : Charles Caes
language : en
Publisher: The Rosen Publishing Group, Inc
Release Date : 2011-08-15
The Stock Market written by Charles Caes and has been published by The Rosen Publishing Group, Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-15 with Juvenile Nonfiction categories.
Describes the functions of the stock market, including dividends and splits, profits and losses, and how the stock market affects the economy as a whole.
Trading The Days Vs Days Of Trading
DOWNLOAD
Author : Mariam Ashraf Kiryakos
language : en
Publisher:
Release Date : 2021
Trading The Days Vs Days Of Trading written by Mariam Ashraf Kiryakos and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with Calendar reform categories.
Abstract: This thesis provides a comprehensive theoretical and empirical review of over five decades of research on two of the most examined calendar anomalies: the day-of-the-week and weekend effect. The expansive literature is classified into five different phases to demonstrate and review the evolution of research on these two seasonal anomalies. It also reconciles empirically the seemingly contradicting evidence documented by prior studies by adopting the lens ofAdaptive Market Hypothesis (AMH) and conducting a cross-market analysis on the two calendar anomalies using the headline stock market indices of the ten largest economies by GDP as of 2019. The main methodology employs GARCH (1,1), T-GARCH (1,1) and rolling window analysis. Currency effects are also incorporated as a robustness check by running the analysis on US dollar returns. The results indicate thatAMH offers a better explanation for the existence of these seasonalities across the sample markets and their time-variant behavior.
Calendar Anomalies And Arbitrage
DOWNLOAD
Author : W. T. Ziemba
language : en
Publisher: World Scientific
Release Date : 2012
Calendar Anomalies And Arbitrage written by W. T. Ziemba and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Business & Economics categories.
This book discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk' arbitrage. A complete update of US anomalies such as the January turn-of-the year, turn-of-the-month. January barometer, sell in May and go away, holidays, days of the week, options expiry and other effects is given concentrating in the futures markets where these anomalies can be easily applied. Other effects that lend themselves to modified buy and hold cash strategies include some of these as well as presidential election, factor models based on fundamental anomalies and other effects. The ideas have been used successfully by the author in personal and managed accounts and hedge funds. Book jacket.