 Does behavioural risk explain the value premium? A study of Indian equity marketSaji George and P. Srinivasa Suresh International Journal of Financial Markets and Derivatives, 2022, vol. 8, issue 3, 205-222 Abstract: This paper, in light of irrational behavioural sentiments, examined value premium anomaly across price to earnings ratio-based portfolios over a period from 2004 to 2016 in the Indian equity market. The study observed excess premium in value stocks with high statistical significance along with higher market portfolio risk in the growth stock portfolios. It refuted the argument of value premium as a compensation for recession related fundamental risk. Sensitivity to behavioural risk found to be negative across both portfolios with lesser impact on the value stocks' excess returns. It observed positive overreaction of trading in the growth stock portfolios and negative overreaction of trading in the value stocks portfolios and also found mispricing both in information day and non information day trading. Erroneous contrarian trading strategies and extent of noise in the prices of stocks of each portfolio cause differences in their behavioural risk exposure, thereby, results in value effect. Keywords: asset pricing; value premium; market risk; behavioural risk; behavioural error; overreaction; under-reaction; information day trading. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:ijfmkd:v:8:y:2022:i:3:p:205-222 Access Statistics for this article More articles in International Journal of Financial Markets and Derivatives from Inderscience Enterprises Ltd |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.