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Aggarwal, Navdeep
- Combining Financial Statement Analysis among Low Book-To-Market Stocks with Momentum to Enhance Returns:Evidence from Indian Stock Mayrket
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1 Department of School of Business Studies, Punjab Agricultural University, Ludhiana, Punjab, IN
1 Department of School of Business Studies, Punjab Agricultural University, Ludhiana, Punjab, IN
Source
International Journal of Education and Management Studies, Vol 7, No 2 (2017), Pagination: 145-149Abstract
This study focused combining two popular investment strategies viz., financial statement analysis and momentum strategy with focus on low book-to-market stocks. In order for the result to be practically useful all sorts of transaction costs as well as the trade restrictions were duly incorporated. Using a combination of Mohanram (2005) and Jegadeesh and Titman (1993) framework among low book-to-market stocks, it was found that financial statement analysis helped identifying such stocks among low book-to-market stocks which produce significant excess returns across holding periods of 3, 6, and 12 months. On combining this strategy with pure momentum, significant improvement in returns were seen across 3 and 6 months formation period for all holding periods of 3,6, and 12 months. Significant Jensen's Alpha figures corroborated these results. However, for 12 months formation period, the value addition by momentum declined and became negative for 12 months holding period. This shows a combination of financial statement analysis and momentum among low book-to-market stocks can bring significant improvement in returns; the results however are restricted to short formation periods only.Keywords
Financial Statement Analysis, Momentum, Low Book-To-Market Stocks.
- Foreign Institutional Investors (FII's) Preferences for Firm Specific Attributes:A Study of Indian Equity Market
Abstract Views :228 |
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Authors
Affiliations
1 Department of School of Business Studies, Punjab Agricultural University, Ludhiana, Punjab, IN
1 Department of School of Business Studies, Punjab Agricultural University, Ludhiana, Punjab, IN
Source
International Journal of Education and Management Studies, Vol 8, No 4 (2018), Pagination: 411-418Abstract
The aim of present study is to assess the significant firm specific attributes as important determinants of FII shareholding. Quarterly shareholding values of top 50 shares in terms of FII shareholding collected from 1st April 2010 to 31 st December 2017 was regressed upon by quarterly values of firm specific attributes. The important and significant firm specific attributes were found to be age of company, return on assets, market capitalization, dividend yield, beta of company, net profit margin and issue ofADR/ GDR.Keywords
FII, Indian Stock Market, Firm Specific Attributes.References
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