Browsing Working Papers by Author "Varma, Jayanth R."

Now showing items 1-20 of 45

    • Analysis of the Indian securities industry: market for debt 

      Barua, Samir K.; Ragunathan, V.; Varma, Jayanth R. (2010-03-27)
      Though the Indian equity market has shown some encouraging growth in the last decade, the Indian debt market has continued to remain sluggish. In an environment where India is keen to attract foreign investments, it will ...

    • Betting against beta in the Indian market 

      Agarwalla, Sobhesh Kumar; Jacob, Joshy; Varma, Jayanth R.; Vasudevan, Ellapulli (Indian Institute of Management, Ahmedabad, 2014)
      Recent empirical evidence from diff erent markets suggests that the security market line is flatter than posited by CAPM. This flatness implies that a portfolio long in low-beta assets and short in high-beta assets would ...

    • Comments on SEBI's draft takeover code 

      Varma, Jayanth R.; Raghunathan, V.; Bhatt, M. C. (2010-03-31)
      In this paper an attempt has been made to comment on the contents of the Draft Regulation for `Substantial Acquisition of Shares in Listed Companies’ of SEBI (Consultative Paper 1). The authors broadly concur with the ...

    • CRISIL Rating: When does AAA mean B? 

      Raghunathan, V.; Varma, Jayanth R. (2010-03-22)
      In this paper an attempt is made to assess the quality of credit rating function being performed by CRISIL, hitherto the sole credit rating agency in India. The paper attempts to answer, two important questions, namely: ...

    • Derivatives pricing using QuantLib: an introduction 

      Varma, Jayanth R.; Virmani, Vineet (Indian Institute of Management Ahmedabad, 2015)
      Given the complexity of over-the-counter derivatives and structured products, al- most all of derivatives pricing today is based on numerical methods. While large fi- nancial institutions typically have their own team of ...

    • Equilibrium pricing of special bearer bonds 

      Varma, Jayanth R. (2010-03-31)
      Special Bearer Bonds provide immunity to investors in respect of black money invested in them. This paper derives equilibrium prices of these bonds in a continuous time framework using the mixed Wiener-Poisson process. ...

    • Equilibrium pricing of special bearer bonds 

      Varma, Jayanth R. (2010-07-27)
      On 1981, the government issued Special Bearer Bonds under a scheme which allowed people to invest their black money in these bonds and enjoy freedom from investigations and prosecutions for tax evasion in respect of their ...

    • Estimation errors and time varying betas in event studies a new approach 

      Varma, Jayanth R.; Barua, Samir K. (2010-03-25)
      The event study is one of the most powerful techniques for studying market efficiency. Over a period of time, researchers have made several modifications to the original methodology of Fama, Fisher, Jensen and Roll (1969). ...

    • Expert system for cost variance investigation 

      Varma, Jayanth R. (2010-03-16)
      In a typical standard costing or budgetary control system, a manager might receive a variance analysis reporting several hundred variances, of which many may have arisen due to random factors, or may be too insignificant ...

    • Financial literacy among working young in urban India 

      Agarwalla, Sobhesh Kumar; Barua, Samir K.; Jacob, Joshy; Varma, Jayanth R. (2013-11-26)
      The paper reports investigation of a study on the influence of various socio-demographic factors on different dimensions of financial literacy among the working young in urban India. While the influence of several factors ...

    • Financial sector reform: institutional and technological imperatives 

      Barua, Samir K.; Varma, Jayanth R. (2010-03-26)
      This paper takes the view that financial sector reform is not only a matter of jettisoning old regulations nor even merely a matter of prudential regulation accompanying structural deregulation; it is intimately bound up ...

    • A First Cut Estimate of the Equity Risk Premium in India 

      Varma, Jayanth R.; Barua, Samir K. (2009-08-08)
      We estimate the equity risk premium in India using data for the last 25 years. We address the shortcomings of existing indices by constructing our own total return index for the 1980s and early 1990s. We use our estimates ...

    • Four factor model in Indian equities market 

      Agarwalla, Sobhesh Kumar; Jacob, Joshy; Varma, Jayanth R. (2013-11-26)
      We compute the Fama-French and momentum factor returns for the Indian equity market or the 1993-2012 period using data from CMIE Prowess. We di er from the previous studies n several signi cant ways. First, we cover a ...

    • Gorbachev betas the Russian coup and market blues 

      Barua, Samir K.; Varma, Jayanth R. (2009-12-12)
      Extensive work has been done on response of stock markets to a variety of events, such as announcement of a firm s financial results, changes in a firm s variables. However, little work has been done on response of stock ...

    • High frequency manipulation at futures Expiry: the case of cash settled Indian single stock futures 

      Agarwalla, Sobhesh Kumar; Jacob, Joshy; Varma, Jayanth R. (Indian Institute of Management , Ahmedabad, 2014)
      Futures markets are known to be vulnerable to manipulation, and despite the presence of a variety of mechanisms to prevent such manipulation, instances of market manipulation have been found in some of the largest and most ...

    • Impact on sensex of scrapping double taxation of dividends 

      Ragunathan, V.; Varma, Jayanth R. (2010-03-31)
      The taxation of dividends has generated an active debate in recent months in the media. While the industry representatives have been critical of the double taxation of dividends, the Government seems to be questioning ...

    • Indian Convertible bonds with unspecified terms a Valuation Model 

      Barua, Samir K.; Varma, Jayanth R. (2012-10-17)
      Indian convertible bonds have two peculiar features that make them possibly unique in the world: a) the bonds are compulsorily converted into equity without any option, and b) the conversion terms are not specified at the ...

    • Indian convertible bonds with unspecified terms: an empirical study 

      Barua, Samir K.; Madhavan, T.; Varma, Jayanth R. (2010-03-31)
      Indian convertible bonds have two peculiar features that make them possibly unique in the world: a) the bonds are compulsorily converted into equity without any option, and b) the conversion terms are not specified at ...

    • Indian convertible bonds with unspecified terms: an empirical study 

      Barua, Samir K.; Madhavan, T.; Varma, Jayanth R. (2010-04-17)
      Indian convertible bonds have two peculiar features that make them possibly unique in the world: a) the bonds are compulsorily converted into equity without any option, and b) the conversion terms are not specified at the ...

    • Indian money market: market structure, covered parity and term structure 

      Varma, Jayanth R. (2010-04-03)
      In the context of the relatively recent deregulation of interest rates in India, this paper analyses the structure and inter-relationships of money market interest rates and studies the extent to which covered interest ...