The Impact of Business Cycles, Stock Market Phases and Crisis on the Value Premium: The Indian Experience

Received: 24 Dec 2020 | Revised: 25 April 2021 | Accepted: 4 Sept 2021

Vol 29, Issue-3, July-September, 2021

Abstract : This paper is an attempt to explore the relationship between the value premium and expected stock returns in the Indian stock market and evaluates whether the value premium disappears or not when the different economic conditions (Boom & Recession), market conditions (Bull & Bear) and 2008 Global financial crisis are considered. Methodology: The annual data of 500 companies belonging to BSE-500 from 1999- 2017 was collected and ten portfolios were constructed and sorted using six valuation proxies (P/B, P/E, D/P/, CF/P, S/P and EV/PBDITA). Standard CAPM and Dual beta market model were employed. Findings: The empirical results confirm that irrespective of market conditions, value stock portfolios surpass growth stock portfolios in the Indian stock market by delivering significant abnormal returns Download View

Keywords: Business Cycle, Economic Conditions, Stock Market Conditions, Global Financial Crisis, Value Investing


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