Is the profitability of Indian stocks compensation for risks?

Paresh Narayan (), Dinh Phan () and Deepa Bannigidadmath

Emerging Markets Review, 2017, vol. 31, issue C, 47-64

Abstract: This paper examines the profitability of the Indian stock market using an extensive new data set that includes 1,515 stocks and covers a time-period spanning 1992 to 2014. Using both the popular Jegadeesh-Titman and the 52-week momentum trading strategies, we discover that portfolios of all stocks and various portfolios of industry stocks are profitable. These profits, we find, disappear once we account for a range of market and macroeconomic factors, suggesting that market and industry profits are compensation for risks. Our results survive a battery of robustness tests.

Keywords: India; Profit; Portfolios; Market risk; Macroeconomic factors (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:31:y:2017:i:c:p:47-64

DOI: 10.1016/j.ememar.2017.02.001

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