Is value premium sector-specific? Evidence from India

Tripathi, Vanita; Aggarwal, Priti

doi:10.1108/mf-02-2020-0049

Cited by 5 publications

(2 citation statements)

References 44 publications

(46 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The sample of our study includes 153 companies. These companies are further segregated into ten sectors based on the Global Industry Classification System (GICS) (Scislaw, 2015; Tripathi and Aggarwal, 2020). The GICS structure consists of 11 sectors: consumer discretionary, consumer staples, energy, financial sector, health care, industrials, IT, materials, real estate, telecommunication services and utilities.…”

Section: Sectoral Analysismentioning

confidence: 99%

Impact of mandatory corporate social responsibility on corporate financial performance: the Indian experience

Sharma¹,

Aggarwal²

2021

SRJ

Self Cite

View full text Add to dashboard Cite

Purpose The purpose of this paper is to investigate the impact of mandatory corporate social responsibility (CSR) expenditure on the firm’s financial performance in the aftermath of insertion of Section 135 in the Companies Act, 2013 for Indian listed companies. Design/methodology/approach The paper uses independent sample t-test, one-way ANOVA, fixed effect panel regression model and principal component analysis on a data set of 153 non-financial companies listed in BSE-500 companies for a period of 2015–2019. Findings The empirical results of the paper suggest that the mandatory CSR expenditure negatively impacts the company’s profitability. Practical implications The study has important implications for regulators and listed companies. Firstly, the mandatory CSR expenditure acts as a burden onto the on-going activities of the firms. CSR activities, therefore, should be integrated with the existing skillsets and expertise of the firms. Secondly, the government can encourage CSR activities by making the expenditure tax deductible. Moreover, the Schedule VII list of activities has a scope to become more inclusive rather than the present exhaustive list. Originality/value The paper highlights the gap in the expectation and actualisation of the CSR mandate by studying the recent data of the sample companies of the BSE-500 index. The paper adds to the CSR literature in the emerging market context.

show abstract

Section: Sectoral Analysismentioning

confidence: 99%

Impact of mandatory corporate social responsibility on corporate financial performance: the Indian experience

Sharma¹,

Aggarwal²

2021

SRJ

Self Cite

View full text Add to dashboard Cite

show abstract

“…The presence of value premium is well documented from Indian equity market (Tripathi and Aggarwal, 2020;Banerjee et al, 2017;Deb and Mishra, 2019;Saji and Harikumar, 2015). These studies explored the presence of the value effect in different market conditions and across different sectors except that of Deb and Mishra (2019) exploring the possibility of value effect due to stock selection criteria of investors.…”

Section: Introductionmentioning

confidence: 99%

Does behavioural risk explain the value premium A study of Indian equity market

George¹,

Suresh²

2022

IJFMD

View full text Add to dashboard Cite

This paper, in light of irrational behavioural sentiments, examined value premium anomaly across price to earnings ratio-based portfolios over a period from 2004 to 2016 in the Indian equity market. The study observed excess premium in value stocks with high statistical significance along with higher market portfolio risk in the growth stock portfolios. It refuted the argument of value premium as a compensation for recession related fundamental risk. Sensitivity to behavioural risk found to be negative across both portfolios with lesser impact on the value stocks' excess returns. It observed positive overreaction of trading in the growth stock portfolios and negative overreaction of trading in the value stocks portfolios and also found mispricing both in information day and non information day trading. Erroneous contrarian trading strategies and extent of noise in the prices of stocks of each portfolio cause differences in their behavioural risk exposure, thereby, results in value effect.

show abstract

Testing factor models in an emerging market: evidence from India

Singh¹,

Singh

Prakash

2022

IJMF

View full text Add to dashboard Cite

PurposeThis paper aims to investigate the explanatory power of the Fama-French five-factor model and compares it to the other asset pricing models. In addition, the paper examines the contributions of two additional factors: profitability and investment factor. The authors test the alternative four-factor models.Design/methodology/approachThe authors use stock returns data of BSE-500 listed firms for the Indian market, an emerging market, from 1999 to 2020, thus covering the post-Asian crisis and pre- and post-financial crisis (2007–2008) periods. The authors employ 75 and 96 portfolios based on different factors. To check the performance of asset pricing models, the authors also used the GRS F-statistics and factor spanning tests.FindingsThe authors find that the five-factor model and alternative four-factor model outperform the three-factor model. Contrary to the findings for the US, but similar to the Chinese stock market, the value factor is significant for the Indian stock market. Simultaneously, the authors also find that the investment factor has no explanatory power in the presence of the profitability factor in their sample.Originality/valueTo the best of the authors' knowledge, this is the most comprehensive study using data more than two decades. These results are based on 75 (25 × 3) portfolios based on size, value, profitability and investment. The authors also tested these results based on 96 (32 × 3) portfolios to check robustness, and these results still hold. Furthermore, the authors find that factors based on 2 × 3 sorting have higher explanatory power than those based on 2 × 2 and 2 × 2 × 2 × 2 sorting.

show abstract

Is value premium sector-specific? Evidence from India

Cited by 5 publications

References 44 publications

Impact of mandatory corporate social responsibility on corporate financial performance: the Indian experience

Impact of mandatory corporate social responsibility on corporate financial performance: the Indian experience

Does behavioural risk explain the value premium A study of Indian equity market

Testing factor models in an emerging market: evidence from India

Contact Info

Product

Resources

About