Author: Nehal.Joshipura

Beta Anomaly and Comparative Analysis of Beta Arbitrage Strategies

Posted onAuthorNehal.Joshipura

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 …

Market Reaction to Stock Splits in Large and Liquid Stocks: Evidence from the Indian Stock Market

Posted onAuthorNehal.Joshipura

Abstract This study investigates market reaction to stock splits using the standard event study methodology. The study uses stock splits in large and liquid stocks in the Indian markets during the years 2001 to 2012. According to a semi-strong form of efficient market hypothesis, any information content associated with corporate announcements must be reflected fully Read More …