Equity Risk Premium in India: Comparative Estimates from Historical Returns, Dividend and Earnings Models

Manju Tripathi, Smita Kashiramka and P. K. Jain

Journal of Emerging Market Finance, 2018, vol. 17, issue 1_suppl, S136-S156

Abstract: The article compares efficiencies of dividend and earnings growth models with historical model in predicting the unconditional expected equity risk premium (ERP) in addition to analysing the impact of recession. The exercise is undertaken employing two different Indian capital market indices, NIFTY500 and SENSEX. The study period is 20 years (1997–2016) with pre- and post-recession periods as 2001–2008 and 2009–2016, respectively. The dividend growth model emerges as the most efficient model for predicting ERP while highlighting that Indian firms follow stable dividend policy. NIFTY500 index with a wider base proves to be a superior benchmark for market returns over SENSEX comprising 30 blue-chip firms.

Keywords: Equity risk premium; dividend model; CAPM; recession; India (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/0972652717751543 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:17:y:2018:i:1_suppl:p:s136-s156

DOI: 10.1177/0972652717751543

Access Statistics for this article

More articles in Journal of Emerging Market Finance from Institute for Financial Management and Research
Bibliographic data for series maintained by SAGE Publications ().