Matches in SemOpenAlex for { <https://semopenalex.org/work/W3121339150> ?p ?o ?g. }
Showing items 1 to 76 of
76
with 100 items per page.
- W3121339150 abstract "We compute the Fama-French and momentum factor returns for the Indian equity market for the October 1993 - December 2013 period using data from CMIE Prowess. We differ from the previous studies on this topic, in the Indian market, in several significant ways. First, we cover a greater number of firms relative to the existing studies. Second, we exclude illiquid firms to ensure that the portfolios are investible. Third, we have classified firms into small and big using more appropriate cut-off considering the distribution of firm size. Fourth, as there are several instances of vanishing of public companies in India, we have computed the returns with a correction for survival bias. During the period from January 1994 to December 2014, the average annual return of the momentum factor was 21.9%; the average annual return on the value portfolio (HML was 15.3%; that of the size factor (SMB) was 15.3%; that of the size factor (SMB) nearly 0%; and the the average annual excess return on the market factor (MRP) was 11.5%. This is a revised version of our earlier paper on this topic. The revision is carried out to primarily accommodate the data of firms which are retrospectively added to the prowess database by CMIE. The time series of daily, monthly and yearly returns of the factors and the underlying portfolios are made available at an online data library. The authors would update the library on a monthly basis." @default.
- W3121339150 created "2021-02-01" @default.
- W3121339150 creator A5042277105 @default.
- W3121339150 creator A5049692445 @default.
- W3121339150 creator A5076823775 @default.
- W3121339150 date "2013-09-30" @default.
- W3121339150 modified "2023-09-27" @default.
- W3121339150 title "Four Factor Model in Indian Equities Market" @default.
- W3121339150 hasPublicationYear "2013" @default.
- W3121339150 type Work @default.
- W3121339150 sameAs 3121339150 @default.
- W3121339150 citedByCount "1" @default.
- W3121339150 countsByYear W31213391502014 @default.
- W3121339150 crossrefType "posted-content" @default.
- W3121339150 hasAuthorship W3121339150A5042277105 @default.
- W3121339150 hasAuthorship W3121339150A5049692445 @default.
- W3121339150 hasAuthorship W3121339150A5076823775 @default.
- W3121339150 hasConcept C106159729 @default.
- W3121339150 hasConcept C10879293 @default.
- W3121339150 hasConcept C149782125 @default.
- W3121339150 hasConcept C162118730 @default.
- W3121339150 hasConcept C162324750 @default.
- W3121339150 hasConcept C166957645 @default.
- W3121339150 hasConcept C17744445 @default.
- W3121339150 hasConcept C199539241 @default.
- W3121339150 hasConcept C199728807 @default.
- W3121339150 hasConcept C205649164 @default.
- W3121339150 hasConcept C2779343474 @default.
- W3121339150 hasConcept C2780821815 @default.
- W3121339150 hasConcept C2985089533 @default.
- W3121339150 hasConcept C2991665230 @default.
- W3121339150 hasConcept C54750564 @default.
- W3121339150 hasConcept C60718061 @default.
- W3121339150 hasConceptScore W3121339150C106159729 @default.
- W3121339150 hasConceptScore W3121339150C10879293 @default.
- W3121339150 hasConceptScore W3121339150C149782125 @default.
- W3121339150 hasConceptScore W3121339150C162118730 @default.
- W3121339150 hasConceptScore W3121339150C162324750 @default.
- W3121339150 hasConceptScore W3121339150C166957645 @default.
- W3121339150 hasConceptScore W3121339150C17744445 @default.
- W3121339150 hasConceptScore W3121339150C199539241 @default.
- W3121339150 hasConceptScore W3121339150C199728807 @default.
- W3121339150 hasConceptScore W3121339150C205649164 @default.
- W3121339150 hasConceptScore W3121339150C2779343474 @default.
- W3121339150 hasConceptScore W3121339150C2780821815 @default.
- W3121339150 hasConceptScore W3121339150C2985089533 @default.
- W3121339150 hasConceptScore W3121339150C2991665230 @default.
- W3121339150 hasConceptScore W3121339150C54750564 @default.
- W3121339150 hasConceptScore W3121339150C60718061 @default.
- W3121339150 hasLocation W31213391501 @default.
- W3121339150 hasOpenAccess W3121339150 @default.
- W3121339150 hasPrimaryLocation W31213391501 @default.
- W3121339150 hasRelatedWork W130812248 @default.
- W3121339150 hasRelatedWork W1555970753 @default.
- W3121339150 hasRelatedWork W2046173020 @default.
- W3121339150 hasRelatedWork W2062239228 @default.
- W3121339150 hasRelatedWork W2100958300 @default.
- W3121339150 hasRelatedWork W2116851440 @default.
- W3121339150 hasRelatedWork W2184869518 @default.
- W3121339150 hasRelatedWork W2258723784 @default.
- W3121339150 hasRelatedWork W2497412165 @default.
- W3121339150 hasRelatedWork W259532887 @default.
- W3121339150 hasRelatedWork W2923299768 @default.
- W3121339150 hasRelatedWork W2941477146 @default.
- W3121339150 hasRelatedWork W2961973268 @default.
- W3121339150 hasRelatedWork W2981455883 @default.
- W3121339150 hasRelatedWork W3042614856 @default.
- W3121339150 hasRelatedWork W3121564225 @default.
- W3121339150 hasRelatedWork W3122219116 @default.
- W3121339150 hasRelatedWork W3122582594 @default.
- W3121339150 hasRelatedWork W3123285794 @default.
- W3121339150 hasRelatedWork W3205647662 @default.
- W3121339150 isParatext "false" @default.
- W3121339150 isRetracted "false" @default.
- W3121339150 magId "3121339150" @default.
- W3121339150 workType "article" @default.