IUP Journal of Applied Finance

(Copyright 2011)
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from January 2009
Last Number: January 2014

IUP Publications
ISSN 0972-5105

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Vol. 15 Nbr. 2, February 2009


Company Attributes and Stock Returns in India: A Panel Data Analysis

Multi-factor models have been proposed as an alternative to the Capital Asset Pricing Model (CAPM), which uses beta as the single measure of risk. This paper relates stock returns to the underlying behavior of beta and five company attributes, i.e., size, earnings yield, cash earnings yield, dividend yield, and book-to-market ratio. Contrary to the CAPM, beta was not found to be statistically significant. Size and book-to-market ratio were found to be significant in the individual regressions...

Covered Interest Parity and International Financial Integration: The Case of India

This study seeks to examine the factors responsible for the lack of international financial integration in India using the covered interest parity condition. The study reveals that the international oil price, Real Effective Exchange Rate (REER), interest rate differential and current account openness are the most important variables affecting the forward premium in India. In an era of financial globalization, it is the current account-related and trade-related factors which have a greater im...

Is India's Stock Market Integrated with Global and Major Regional Markets?[Dagger]

The stock market in India has witnessed a rapid growth, led by reforms, since the early 1990s and the surge in foreign portfolio capital flows. This study investigates as to how the Indian stock market is integrated with global markets of the US, the UK and Japan and major regional markets in Asia such as Singapore and Hong Kong. The study uses the popular multivariate cointegration model to gauge the integration process. Empirical findings support that a single cointegration relation bounds ...

Property Investment and Inflation Hedging in Residential Property: The Case of District of Gombak, Selangor D. E.

This study analyzes the effectiveness of property investment in hedging against inflation. Pooled Estimated Generalized Least Square (EGLS with cross-section weights) models are used to determine whether investing in property is a good hedge against inflation. In this model, the total pool (unbalanced) observations considered are 10,431 residential properties. On the whole, this study considers 16 types of properties and 118 housing schemes. Three models are used to determine inflation, expec...

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