Beta Anomaly and Comparative Analysis of Beta Arbitrage Strategies

Abstract Over a long period of time, stocks with low beta have consistently outperformed their high beta counterparts across developed and emerging markets alike. We explore the presence of low beta anomaly and its robustness after controlling for size, value and momentum factors in the Indian stock markets. We have chosen the universe of past Read More …

Ex-ante Test of Lower Boundary Condition and Market Efficiency: Evidence from Indian Index Options Market

Abstract The study examines the efficiency of the Indian options market by ex-ante test of the lower boundary conditions on S&P CNX Nifty index options traded on National Stock Exchange (NSE), India, using spot and futures prices. The data consists of daily closing prices of S&P CNX Nifty index options contracts fromApril 01, 2008 to Read More …