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Performance of quality factor in Indian equity market
(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
(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 ...
Cyclically adjusted PE ratio (CAPE) and stock market characteristics in India
(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 ...