Год выпуска: 2014 Автор: Srividya Subramaniam Издательство: LAP Lambert Academic Publishing Страниц: 240 ISBN: 9783659592843
Описание
Extensive literature exists confirming the presence of equity market anomalies for mature markets. Similar evidence for emerging markets including India is limited and more recent in origin. This book is an empirical study of prominent equity market anomalies viz. size, value, momentum, liquidity, accruals, profitability, stock issues and repurchases for select emerging markets - Brazil, China, India, Indonesia, South Korea and South Africa. The CAPM, Fama French model and augmented Fama French models are used in the study. The four factor liquidity augmented Fama French model is a better descriptor of asset pricing compared to CAPM and Fama French model only in the Indian context. The Fama French model seems to be an appropriate performance benchmark for other sample emerging markets. The findings will be highly useful to global portfolio managers, investment analysts as well as institutional investors in decisions regarding international portfolio construction and diversification....
