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Is the profitability of Indian stocks compensation for risks?

Author

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  • Narayan, Paresh Kumar
  • Phan, Dinh Hoang Bach
  • Bannigidadmath, Deepa

Abstract

This paper examines the profitability of the Indian stock market using an extensive new data set that includes 1,515 stocks and covers a time-period spanning 1992 to 2014. Using both the popular Jegadeesh-Titman and the 52-week momentum trading strategies, we discover that portfolios of all stocks and various portfolios of industry stocks are profitable. These profits, we find, disappear once we account for a range of market and macroeconomic factors, suggesting that market and industry profits are compensation for risks. Our results survive a battery of robustness tests.

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  • Narayan, Paresh Kumar & Phan, Dinh Hoang Bach & Bannigidadmath, Deepa, 2017. "Is the profitability of Indian stocks compensation for risks?," Emerging Markets Review, Elsevier, vol. 31(C), pages 47-64.
    • Handle: RePEc:eee:ememar:v:31:y:2017:i:c:p:47-64
    DOI: 10.1016/j.ememar.2017.02.001
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