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Anomalies and Multi-factor model for stock pricing in Indian
Researchers have found that valuation measures have some power to forecast long-horizon (say 10-year) stock market returns. There is no unique valuation measure known to be perfect, and the most common choices have their pros and cons. Even then, for many years, researchers and practitioners have m...
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| Format: | Article |
| Language: | English |
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2014
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| Summary: | Researchers have found that valuation measures have some power to forecast long-horizon (say 10-year) stock market returns. There is no unique valuation measure known to be perfect, and the most common choices have their pros and cons. Even then, for many years, researchers and practitioners have made use of these evaluation techniques. This paper reiterates the importance and usefulness of these valuation techniques to explain investor's required rate of return of the stocks in the Indian Capital Market. Using Shiller P/E ratio, P/E ratios, dividend yields, volume traded and volume traded per shares outstanding; in addition to the CAPM model, this study looks at the efficiency of the Indian market on a daily and monthly basis. It further investigates their predictive ability to show that in most cases these factors have improved the prediction results. |
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| Physical Description: | 175 - 206 |