Browsing Working Papers by Author "Jacob, Joshy"

Now showing items 1-18 of 18

    • Arbitrage constraints and behaviour of volatility components: evidence from a natural experiment 

      Srivastava, Pranjal; Jacob, Joshy (Indian Institute of Management Ahmedabad, 2022-10-06)
      Short-selling constraints are known to impede information flow into the financial markets, particularly that of negative information. We employ “Regulation SHO” as a natural experiment to examine how the lowering of short ...

    • Are big 4 audit fee premiums always related to superior audit quality? evidence from India’s unique audit market 

      Jacob, Joshy; Desai, Naman; Agarwalla, Sobhesh Kumar (Indian Institute of Management Ahmedabad, 2015)
      In this study we examine the fee premiums earned by Big 4 auditors (B4As) in India. We then try to determine the primary cause of the fee premiums in an Indian context. The B4As charge fee premiums for two primary reasons. ...

    • 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 ...

    • Cyclically adjusted PE ratio (CAPE) and stock market characteristics in India 

      Jacob, Joshy; Pradeep, K.P (Indian Institute of Management Ahmedabad, 2022-09-29)
      We estimate the Cyclically Adjusted PE ratio (CAPE) for equity indices in the Indian market. We find the average CAPE ratio of the Indian market is lower than that of the US. Judging the market valuation level based on ...

    • 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 ...

    • Fishing in muddy waters: mergers and acquisitions during uncertainty 

      Gopalakrishnan, Balagopal; Jacob, Joshy; Srivastava, Jagriti (Indian Institute of Management Ahmedabad, 2022-10-26)
      Using the COVID-19 pandemic as an exogenous shock, we examine whether firms engage in opportunistic mergers and acquisitions during uncertainty. Par- ticularly, we analyze the inorganic growth strategies of acquiring ...

    • 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 ...

    • 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 of continuous auditing on earnings quality and audit fees 

      Desai, Naman; Jacob, Joshy; Tripathy, Arindam (Indian Institute of Management Ahmedabad, 2016-03)
      The use of continuous auditing (CA) has been promoted as a means to improve the governance mechanisms of companies. Prior experimental research also indicates that external auditors tend to rely more and spend relatively ...

    • Impact of price path on disposition bias 

      Bansal, Avijit; Jacob, Joshy (Indian Institute of Management Ahmedabad, 2018)
      Recent studies, in experimental markets, have illustrated the incremental influence of price path on investor decisions. We empirically demonstrate that the nature of price path significantly impacts the degree of disposition ...

    • Impact of the Introduction of Call Auction on price discovery: Evidence from the Indian Stock Market Using High-Frequency Data 

      Agarwalla, Sobhesh Kumar; Jacob, Joshy; Pandey, Ajay (2010)
      Call markets are claimed to aggregate information and facilitate price discovery where continuous markets may fail. Its advantage, however, comes at the cost of imme- diacy. Possibly due to faulty design or due to \thick ...

    • Lender moral hazard in state-owned banks: evidence from an emerging economy 

      Gopalakrishnan, Balagopal; Jacob, Joshy; Pandey, Ajay (Indian Institute of Management Ahmedabad, 2018-07-04)
      We examine the credit risk-choices of the public sector banks (PSBs) in India with a novel dataset that is able to trace the borrowers to their banks. We determine the likelihood of the ownership type of the lender bank ...

    • Mandatory IPO Grading: Does It Help Pricing E ciency? 

      Jacob, Joshy; Agarwalla, Sobhesh Kumar (2013-11-25)
      The paper examines the market impact of a unique IPO certi cation recently introduced in India mandatory grading of IPOs by a credit rating agency. The grading was expected to improve the IPO pricing e ciency by providing ...

    • Market overreaction to poor long-run performance? a case of repurchase firms in India 

      Agarwalla, Sobhesh Kumar; Jacob, Joshy; Vasudevan, Ellapulli (Indian Institute of Management Ahmedabad, 2015)
      We find significant positive abnormal returns around the announcement of both tender and open market repurchases in India. This suggests that the equity markets in India regard repurchase announcements as positive information ...

    • Market timing ability of Indian firms in open market repurchases 

      Agarwalla, Sobhesh Kumar; Jacob, Joshy; Vasudevan, Ellapulli (Indian Institute of Management Ahmedabad, 2013)
      The paper examines the market timing ability of Indian firms engaged in open market repur- chases. The study is primarily motivated by the unique disclosure feature of repurchases in India, where the disclosures are far ...

    • Performance of quality factor in Indian equity market 

      Jacob, Joshy; K.P., Pradeep; Varma, Jayanth R. (Indian Institute of Management Ahmedabad, 2022-12-06)
      We study the characteristics of Quality factor (QMJ) in India, which is the sec- ond largest emerging market. Dimensions of quality factor are impacted by the weaker enforcement of corporate governance norms in emerging ...

    • Risk information - normal markets and the COVID-19 pandemic period 

      Srivastava, Pranjal; Jacob, Joshy (Indian Institute of Management Ahmedabad, 2022-10-06)
      The paper investigates how the market infers changes in the firm-level discount rate (risk information) in normal and turbulent times. The study focuses on two key sources of risk information, earnings announcements of ...

    • Risk-sensitive Basel regulations and firms' access to credit: direct and indirect effects 

      Gopalakrishnan, Balagopal; Jacob, Joshy; Mohapatra, Sanket (Indian Institute of Management Ahmedabad, 2018)
      This paper examines the impact of risk-sensitive Basel regulations on access to debt and cost of debt for firms with varying characteristics around the world, and investigates how firms cope through reliance on alternative ...