Anomalies in CAPM: A panel data analysis under indian conditions

International Research Journal of Finance and Economics

Volumn 33, Issue , 2009, Pages 192-206

  Nair, Abhilash S ^a   Sarkar, Abhijit ^b   Ramanathan, A ^b   Subramanyam, A ^b  

^a INDIAN INSTITUTE OF MANAGEMENT KOZHIKODE   (India)

^b INDIAN INSTITUTE OF TECHNOLOGY BOMBAY   (India)

Author keywords

Anomalies in CAPM; Fama and MacBeth Cross Sectional Regression; Least Squares Dummy Variables Estimation; Panel Data

Indexed keywords

EID: 70350584489     PISSN: 14502887     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (34)

1. Ball, R. (1978) Anomalies in Relationships Between Securities' Yields and Yield- Surrogates, Journal of Financial Economics, 6, 103-26.
2. Banz, R W. (1981) The Relationship Between Return and Market Value of Common Stocks, Journal of Financial Economics, 9, 3-18.
3. Basu, S. (1977) Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of Efficient Market Hypothesis, Journal of Finance, 32, 663-82.
4. Basu, S. (1983) The Relationship Between Earnings' Yield, Market Value and Return for NYSE Common Stocks, Journal of Financial Economics, 12, 129-56.
5. Bhandari L.C. (1988) Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence, Journal of Finance, 43, 507-28.
6. Black, F., Jensen, M.C., and Scholes, M. (1972) The Capital Asset Pricing Model: Some Empirical Tests, in Studies in the Theory of Capital Markets (Ed.). Michael C. Jensen, New York: Praeger, pp. 79-121.
7. Blume, M. (1970) Portfolio Theory: A Step Towards its Practical Application, Journal of Business, 43, 152-74.
8. Blume, M. and Friend, I. (1973) A New Look at the Capital Asset Pricing Model, Journal of Finance, 28, 19-33.
9. Bradley, K and Alles, L. (1999) Beta, Book-to-Market Ratio, Firm Size and the Cross-Section of Australian Stock Market Returns, Working Paper 99.06, Curtin University.
10. Brennan, M.J., Chordia, T., and Subramanyam, A. (1998) Cross-Sectional Determinants of Expected Returns, Working Paper No. 1625, Vanderbilt University.
11. Chan K.C., and Chen N. (1991) Structural and Return Characteristics of Small and Large Firms, Journal of Finance, 46, 1467-84.
12. Chui, A., and Wei, J. (1997) Book-to-market, firm size, and turn-of-the-year effect: Evidence from Pacific-Basin emerging markets, Working paper, The Hong Kong Polytechnic University.
13. Davis, J.L., Fama, E.F., and French, K.R. (2000) Characteristics, Covariances and Average Returns: 1929 to 1997, Journal of Finance, 55, 389-406.
14. Dimson, E. (1979) Risk Measurement When Shares are Subject to Infrequent Trading, Journal of Financial Economics, 7, 197-226.
15. Drukker, D. M. (2003) Testing for serial correlation in linear panel-data models, Stata Journal, 3, 168-177.
16. Fama, E F. (1970) Efficient Capital Markets: A Review of Theory and Empirical Work, Journal of Finance, 25, 383-417.
17. Fama, E.F. and French, K.R. (1992) The Cross-Section of Expected Stock Returns, Journal of Finance, 47, 427-65.
18. Fama, E.F. and French, K.R. (1993) Common Risk factors in the Returns on Stocks and Bonds, Journal of Financial Economics, 33, 3-56.
19. Fama, E.F., and French K. R. (1995) Size and Book-to-Market Factors in Earnings and Returns, Journal of Finance, 50, 131-55.
20. Fama, E.F. and MacBeth, J.D. (1973) Risk, Return and Equilibrium: Empirical Tests, Journal of Political Economy, 81, 607-36.
21. Hsiao, C. (2003) Analysis of Panel Data, Cambridge University Press, Cambridge, UK.
22. Hussman J.P. (1993) A Note on the Interpretation of Cross-Sectional Evidence Against the Beta-Expected Return Relationship, Retrived 7th September 2004, from Hussman Funds Website: www.hussmanfunds.com/pdf/notebeta.pdf.
23. Im, K.S., Pesaran, M.H., Shin, Y. (2003) Testing for Unit Roots in Heterogeneous Panels, Journal of Econometrics, 115, 53-74.
24. Levin, A., Lin, C., and Chu C.S.J. (2002) Unit Root Tests in Panel Data: Asymptotic and Finite Sample Properties, Journal of Econometrics, 108, 1-24.
25. Lintner, J. (1965) The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets, Review of Economics and Statistics, 47, 13-37.
26. Maddala, G.S. and Wu, S. (1999) A Comparative Study of Unit Root Tests With Panel Data and A New Simple Test, Oxford Bulletin of Economics and Statistics, 61, 631-52.
27. Mossin, J. (1966) Equilibrium in Capital Asset Market, Econometrica, 41, 867-87.
28. National Stock Exchange (2004) Indian Stock Market Review, National Stock Exchange, Mumbai.
29. Reinganum, M R. (1981) A New Empirical Perspective on the CAPM, Journal of Financial and Quantitative Analysis, 16, 439-62.
30. Rosenberg, B., Reid, K, and Lanstein R. (1985) Persuasive Evidence of Market Inefficiency, Journal of Portfolio Management, 11, 9-17.
31. Securities Exchange Board of India (2005) Handbook of Statistics on Indian Securities Market, Securities Exchange Board of India, Mumbai.
32. Sharpe, W. (1964) Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk, Journal of Finance, 19, 425-42.
33. Stattman, D. (1980) Book Values and Stock Returns The Chicago MBA: A Journal of Selected Papers, 4, 25-45.
34. Wooldridge, J. M. (2002) Econometric Analysis of Cross Section and Panel Data, MIT Press, MA.