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• W3036663044 abstract "We combine corporate attributes and fundamental factors for evolving different investment strategies using data from 200 companies listed in the National Stock Exchange (NSE) from 2005 to 2018. The results indicate the existence of equity market anomalies based on size, volume, earnings, cash flow variability, asset growth, price momentum, price-to-book ratio and profitability. The performance of trading strategies is sensitive to portfolio construction procedure, that is, forming 5/10/20 portfolios. Bivariate strategies generally perform better than univariate strategies in the Indian context. On an overall basis, the size-based strategy performs best with a mean excess return of 3.63 per cent per month. We further find that corporate fundamentals such as profitability, operating efficiency, liquidity, solvency, innovation and entry barriers help in filtering poor future performers that may have been recommended by attributes-based strategy. Our filtered portfolios based on firm attributes and corporate fundamentals outperform unfiltered portfolios, and their returns are not explained by multi-factor performance benchmarks." @default.
• W3036663044 created "2020-06-25" @default.
• W3036663044 creator A5007822056 @default.
• W3036663044 creator A5017559376 @default.
• W3036663044 creator A5087170695 @default.
• W3036663044 date "2020-06-19" @default.
• W3036663044 modified "2023-09-27" @default.
• W3036663044 title "Firm Attributes, Corporate Fundamentals and Investment Strategies: An Empirical Study for Indian Stock Market" @default.
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• W3036663044 doi "https://doi.org/10.1177/0258042x20927995" @default.
• W3036663044 hasPublicationYear "2020" @default.
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