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Asset Pricing in Indian Stock Market
By Sanjay Sehgal

First Published : 2005
ISBN : 8177080792
: 9788177080797
Pages : 214
Binding : Hardbound
Size : 5 x 9
Price : US$ 43
ABOUT THE BOOK

This book empirically shows that the multi-factor asset pricing models, like the Fama-French model, provide a better description of average stock returns compared to the more widely accepted capital asset pricing model (CAPM). It is suggested that the market practitioners should re-design their investment management tool box by replacing CAPM with the Fama-French model for industry applications such as cost of capital estimation, corporate valuation, estimating fair rates of return, assessing stock market efficiency and portfolio performance evaluation. It is also revealed that size-based, value-based, reversal-based and momentum-based trading strategies do not provide extra-normal returns in India. The book will be a useful reference for mutual fund managers, portfolio managers, financial consultants and investors at large. Academicians and students in the area of investment management and corporate finance can also benefit from it.


CONTENTS
     

1. Introduction

2. Asset Pricing: An Overview

3. Investor Behaviour in Indian Stock Market

4. Common Factors in Stock Returns

5. Common Factors in Earnings

6. Fama-French Model and CAPM Anomalies

7. Momentum Profits, Portfolio Characteristics and Asset Pricing Models

8. Factor Model Vs Characteristics Based Model

9. Implications and Recommendations

References

Appendix 1: Investor Behaviour in Indian Stock Market


ABOUT THE AUTHOR
     

      Dr. Sanjay Sehgal is a Reader-in-Finance with the Department of Financial Studies, University of Delhi South Campus. He has a teaching and research experience of about one and a half decade in the areas of investment management and corporate finance. He did his Ph.D. (Finance) from Delhi University in 1996 and completed post doctoral fellowship on multi-factor asset pricing from Department of Accounting and Finance, London School of Economics, UK in 2001. He has done two UGC sponsored major research projects on mutual funds evaluation and asset pricing.  He has written more than thirty research papers which are published in leading finance journals.  Most of these papers have been presented in international and Indian conferences. He teaches courses in Investment Analysis, Portfolio Management and Financial Econometrics to Master of Finance and Control (MFC) students in his present Department.  He also regularly gives lectures on asset pricing and market-efficiency to M.Phil. (Finance) students at Delhi School of Economics, Delhi University. He also taught courses in financial markets and corporate finance to post graduate students during his tenure at London School of Economics, U.K. 


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