The Interplay Between Sentiment and MAX: Evidence from an Emerging Market

Gupta, Nilesh; Jacob, Joshy

doi:10.1177/0972652720969511

Journal of Emerging Market Finance

2021

DOI: 10.1177/0972652720969511

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The Interplay Between Sentiment and MAX: Evidence from an Emerging Market

Nilesh Gupta

Joshy Jacob

Abstract: Investors with lottery preferences are known to concentrate on stocks with rare but extreme past returns. We investigate the extent to which lottery preference, measured by the MAX variable, varies with the market-wide irrational sentiment. We find that the high-MAX stocks have higher overpricing in a high-sentiment market and earn a lower alpha, compared to the low-sentiment market. Accordingly, the poor returns earned by a long-short portfolio of stocks with extreme MAX values are primarily due to the overva… Show more

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How does ownership structure affect the financing and dividend decisions of firm?

Tayachi

Hunjra

Jones

et al. 2021

JFRA

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Purpose Ownership structure deals with internal corporate governance mechanism, which plays important role in minimizing conflict of interests between shareholders and management Ownership structure is an important mechanism that influences the value of firm, financing and dividend decisions. This paper aims to examine the impact of the ownership structures, i.e. managerial ownership, institutional ownership on financing and dividend policy. Design/methodology/approach The authors use panel data of manufacturing firms from both developed and developing countries, and the generalized method of moments (GMM) is applied to analyze the results. The authors collect the data from DataStream for the period of 2010 to 2019. Findings The authors find that managerial ownership and ownership concentration have significant and positive effects on debt financing, but they have significant and negative effects on dividend policy. Institutional ownership shows a positive impact on financing decisions and dividend policy for sample firms. Originality/value This study fills the gap by proving the policy implications for both firms and investors, as managers prefer debt financing, but at the same time try to ignore dividend payment. Therefore, investors may not invest in firms with a higher proportion of managerial ownership and may choose to invest more in institutional ownership, which lowers the agency cost.

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How does ownership structure affect the financing and dividend decisions of firm?

Tayachi

Hunjra

Jones

et al. 2021

JFRA

View full text Add to dashboard Cite

show abstract

Value and quality investing strategy in Indian stock market

Kaur,

Seth,

Singh

2024

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PurposeThe objective of the study is to shed light on the notion of quality investing in the Indian stock market. The study also attempts to combine the value and quality metrics to test their ability to generate a higher risk-adjusted return.Design/methodology/approachThe paper employs asset pricing models to examine the excess risk-adjusted returns and panel regression model (random estimates) to determine the price of quality in the cross-section of Bombay Stock Exchange (BSE) listed stocks from 2003 to 2020.FindingsThe results indicate that the quality-only strategy failed to produce substantial risk-adjusted returns in the Indian stock market. The returns to long/short hedging strategy quality-minus-junk (QMJ) are significantly positive with the majority of the returns attributable to the short leg of the stock portfolio. The findings further discovered that the explanatory effect of quality on prices is limited. In particular, a strategy that combines value and quality investing generated positive and significant alphas as well as a higher Sharpe ratio.Practical implicationsThe study provides investors and portfolio managers with valuable insights for navigating undervalued high-quality equities in the Indian stock market.Originality/valueThis is the first research of its kind to examine the performance of quality (Q score indicator) combined with value investing in the Indian stock market. As majority of research have concentrated on developed economies, this study offers out-of-sample evidence to validate the strategy’s success in an emerging market.

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The Interplay Between Sentiment and MAX: Evidence from an Emerging Market

Cited by 2 publications

References 40 publications

How does ownership structure affect the financing and dividend decisions of firm?

How does ownership structure affect the financing and dividend decisions of firm?

Value and quality investing strategy in Indian stock market

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