Cross-sectional returns predictability for emerging market banks: A study on Indian banking system

Sabyasachi Mohapatra and Arun Kumar Misra

Cogent Economics & Finance, 2019, vol. 7, issue 1, 1586078

Abstract: Using Indian bank-level data, we examine the cross-sectional returns predictability for banking stocks in view of the distinct industry parameters prevalent in the financial services space. We find the existence of abnormal returns in banking stocks. We also observe that the celebrated Fama–French (1992) 3-factor model could not explain the abnormal returns, primarily due to very high leveraged banks’ balance sheets. Thus, we extend the Fama–French 3-factor model and Carhart 4-factor model alongside bank-specific conditioning information in the form of asset quality variables, operational efficiency variables and solvency variables to articulate the existence of abnormal returns. With the inclusion of conditioning information, the study predictability of abnormal returns improved significantly.

Date: 2019
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/23322039.2019.1586078 (text/html)
Access to full text is restricted to subscribers.

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:taf:oaefxx:v:7:y:2019:i:1:p:1586078

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/OAEF20

DOI: 10.1080/23322039.2019.1586078

Access Statistics for this article

Cogent Economics & Finance is currently edited by Steve Cook, Caroline Elliott, David McMillan, Duncan Watson and Xibin Zhang

More articles in Cogent Economics & Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().